Can a regulatory risk measure induce profit-maximizing risk capital allocations? : the case of conditional tail expectation
Nawaf Mohammed, Edward Furman, Jianxi Su
| Year of publication: |
2021
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|---|---|
| Authors: | Mohammed, Nawaf ; Furman, Edward ; Su, Jianxi |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 101.2021, 2, p. 425-436
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| Subject: | Conditional covariance | Conditional geometric tail expectation-based allocation | Conditional tail expectation-based allocation | Size-biased transform | Standard simplex | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Allokation | Allocation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.08.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012793935