GlueVaR risk measures in capital allocation applications
Year of publication: |
2014
|
---|---|
Authors: | Belles-Sampera, Jaume ; Guillén, Montserrat ; Santolino, Miguel |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 58.2014, C, p. 132-137
|
Publisher: |
Elsevier |
Subject: | Subadditivity | Tails | Distortion risk measure | Capital allocation | Risk aversion |
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