TVaR-based capital allocation with copulas
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Publication:659153
DOI10.1016/j.insmatheco.2009.08.002zbMath1231.91141WikidataQ59444597 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
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60E05: Probability distributions: general theory
91G10: Portfolio theory
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