Pages that link to "Item:Q3608226"

The following pages link to Multivariate Pareto portfolios: TCE-based capital allocation and divided differences (Q3608226):

Displaying 32 items.

• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation (Q495473) (← links)
• On some layer-based risk measures with applications to exponential dispersion models (Q609700) (← links)
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach (Q631479) (← links)
• Asymptotics for risk capital allocations based on conditional tail expectation (Q654806) (← links)
• TVaR-based capital allocation with copulas (Q659153) (← links)
• On a multivariate Pareto distribution (Q659227) (← links)
• Multivariate Tweedie distributions and some related capital-at-risk analyses (Q659235) (← links)
• On the tail mean-variance optimal portfolio selection (Q659265) (← links)
• Weighted risk capital allocations (Q974815) (← links)
• Some results on the CTE-based capital allocation rule (Q998305) (← links)
• A bivariate distribution with Lomax and geometric margins (Q1622113) (← links)
• The joint distribution of the sum and maximum of dependent Pareto risks (Q1661338) (← links)
• Optimal capital allocation based on the tail mean-variance model (Q2015620) (← links)
• Conditional excess risk measures and multivariate regular variation (Q2291755) (← links)
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013) (← links)
• Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (Q2427830) (← links)
• A characterization of optimal portfolios under the tail mean-variance criterion (Q2442517) (← links)
• Estimation of the parameters of a Markov-modulated loss process in insurance (Q2513596) (← links)
• Skewed bivariate models and nonparametric estimation for the CTE risk measure (Q2518541) (← links)
• On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays (Q2520463) (← links)
• Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995) (← links)
• Risk aggregation and capital allocation using a new generalized Archimedean copula (Q2670109) (← links)
• ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (Q4563733) (← links)
• A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics (Q4577205) (← links)
• Lifetime dependence models generated by multiply monotone functions (Q4583623) (← links)
• Weighted Pricing Functionals With Applications to Insurance (Q5029087) (← links)
• Generalized Marcinkiewicz Laws for Weighted Dependent Random Vectors in Hilbert Spaces (Q5046634) (← links)
• AGGREGATION AND CAPITAL ALLOCATION FORMULAS FOR BIVARIATE DISTRIBUTIONS (Q5050856) (← links)
• The Tail Stein's Identity with Applications to Risk Measures (Q5379195) (← links)
• Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach (Q5742901) (← links)