Asymptotics for risk capital allocations based on conditional tail expectation

DOI10.1016/j.insmatheco.2011.05.002zbMath1228.91029OpenAlexW3123609259MaRDI QIDQ654806

Alexandru V. Asimit, Edward Furman, Raluca Vernic, Qi-he Tang

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13126/1/aftv_rev3.pdf

zbMATH Keywords

heavy-tailed distributionsextreme value theoryvalue-at-riskcapital allocationasymptotic dependence and independenceconditional tail expectation

Mathematics Subject Classification ID

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