Minimum capital requirement and portfolio allocation for non-life insurance : a semiparametric model with Conditional Value-at-Risk (CVaR) constraint
Alessandro Staino, Emilio Russo, Massimo Costabile, Arturo Leccadito
| Year of publication: |
2023
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|---|---|
| Authors: | Staino, Alessandro ; Russo, Emilio ; Costabile, Massimo ; Leccadito, Arturo |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 20.2023, 1, Art.-No. 12, p. 1-32
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| Subject: | Capital requirement | Conditional Value-at-Risk | Convex optimization | Non-life insurance | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Versicherung | Insurance |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-023-00439-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014228472