Recommendations
- Weighted risk capital allocations in the presence of systematic risk
- Excess based allocation of risk capital
- Optimal capital allocation based on weighted-mean-variance principle
- Capital allocation for set-valued risk measures
- Risk management with weighted VaR
- Capital allocation based on Haezendonck-Goovaerts risk measure
- Fair estimation of capital risk allocation
- Risk Measurement with Spectral Capital Allocation
- scientific article; zbMATH DE number 2151372
- scientific article; zbMATH DE number 6671758
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- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 1484400 (Why is no real title available?)
- scientific article; zbMATH DE number 2122817 (Why is no real title available?)
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Cited in
(70)- Applications of axiomatic capital allocation and generalized weighted allocation
- Budget-constrained optimal retention with an upper limit on the retained loss
- Stackelberg equilibria with multiple policyholders
- Univariate and multivariate mixtures of exponential distributions, with applications in risk modeling
- Holistic principle for risk aggregation and capital allocation
- Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
- Capital Allocation Using the Bootstrap
- Pareto-optimal insurance with an upper limit on the insurer's exposure
- The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
- Estimating the VaR-induced Euler allocation rule
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- A method for constructing and interpreting some weighted premium principles
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
- Functional characterizations of bivariate weak SAI with an application
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- Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
- General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
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- Allocating systemic risk in a regulatory perspective
- A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- The cumulative quantile regression function with censored and truncated covariate
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- Grammar-Based Tree Compression
- Empirical tail conditional allocation and its consistency under minimal assumptions
- Weighted risk capital allocations in the presence of systematic risk
- Stochastic comparisons of capital allocations with applications
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- Agricultural Insurance Ratemaking: Development of a New Premium Principle
- A new class of credibility estimators under the generalized weighted premium principle
- Optimal capital allocation based on weighted-mean-variance principle
- A form of multivariate Pareto distribution with applications to financial risk measurement
- Optimal capital allocations to interdependent actuarial risks
- Polynomial extensions of distributions and their applications in actuarial and financial modeling
- An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
- Excess based allocation of risk capital
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- Risk management with weighted VaR
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- Optimal capital allocation based on the tail mean-variance model
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- The cumulative quantile regression function with censored and truncated response
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- Optimal insurance under maxmin expected utility
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- Weighted Pricing Functionals With Applications to Insurance
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- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
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- Risk aggregation and capital allocation using a new generalized Archimedean copula
- On an optimization problem related to static super-replicating strategies
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- Grüss-type bounds for the covariance of transformed random variables
- On a multivariate Pareto distribution
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