TVaR-based capital allocation with copulas

DOI10.1016/j.insmatheco.2009.08.002zbMath1231.91141OpenAlexW2058121906WikidataQ59444597 ScholiaQ59444597MaRDI QIDQ659153

Hélène Cossette, Étienne Marceau, Mathieu Bargès

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.08.002

zbMATH Keywords

copulasdiscretization methodscapital allocationdependence modelstail value at risk

Mathematics Subject Classification ID

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Cites Work

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• Two servers in series, studied in terms of a Markov renewal branching process
• Stochastic Comparison of Random Vectors with a Common Copula
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• Loss Models

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