TVaR-based capital allocation with copulas
Year of publication: |
2009
|
---|---|
Authors: | Bargès, Mathieu ; Cossette, Hélène ; Marceau, Étienne |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 45.2009, 3, p. 348-361
|
Subject: | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Risikomanagement | Risk management | Allokation | Allocation |
-
Some new notions of dependence with applications in optimal allocation problems
Cai, Jun, (2014)
-
Risk aggregation with copula for banking industry
Yoshiba, Toshinao, (2015)
-
Econometrics and risk management
Fouque, Jean-Pierre, (2008)
- More ...
-
TVaR-based capital allocation with copulas
Bargès, Mathieu, (2009)
-
TVaR-based capital allocation with copulas
Bargès, Mathieu, (2009)
-
TVaR-based capital allocation with copulas
Bargès, Mathieu, (2009)
- More ...