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subject:"Basel Accord"
subject:"Theory"
~isPartOf:"Insurance / Mathematics & economics"
~language:"eng"
~person:"Cossette, Hélène"
~person:"McAleer, Michael"
~person:"Migueis, Marco"
~person:"Wang, Ruodu"
~subject:"Portfolio selection"
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Basel Accord
Theory
Portfolio selection
Risikomanagement
11
Risk management
11
Risiko
9
Risk
9
Theorie
9
Portfolio-Management
8
Risikomaß
8
Risk measure
8
Measurement
5
Messung
5
Multivariate Verteilung
4
Multivariate distribution
4
Risk measures
4
Capital allocation
3
Statistical distribution
3
Statistische Verteilung
3
Aggregation
2
Allocation
2
Allokation
2
Archimedean copulas
2
Mixed Erlang distributions
2
Probability theory
2
Stochastic orders
2
Stochastic process
2
Stochastischer Prozess
2
Value-at-Risk
2
Wahrscheinlichkeitsrechnung
2
Admissible risk
1
Aggregate risk
1
Aggregation strategy
1
Bankgeschäft
1
Banking services
1
Capital income
1
Collective risk models
1
Common mixture representation
1
Complete mixability
1
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1
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10
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English
Author
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Cossette, Hélène
McAleer, Michael
Migueis, Marco
Wang, Ruodu
Mao, Tiantian
6
Gatzert, Nadine
5
Marceau, Etienne
5
Tan, Ken Seng
5
Tang, Qihe
5
Cai, Jun
4
Cheung, Ka Chun
4
Chi, Yichun
4
Dhaene, Jan
4
Feng, Runhuan
4
Hu, Taizhong
4
Laeven, Roger J. A.
4
Yang, Fan
4
Asimit, Alexandru V.
3
Boonen, Tim J.
3
Denuit, Michel
3
Furman, Edward
3
Landriault, David
3
Peters, Gareth W.
3
Shevchenko, Pavel V.
3
Tsanakas, Andreas
3
Zhang, Yiying
3
Badescu, Alexandru M.
2
Balbás de la Corte, Alejandro
2
Balbás, Beatriz
2
Chen Zhou
2
Chiu, Mei Choi
2
Cox, Samuel H.
2
Cui, Wei
2
Eckert, Christian
2
Feng, Mingbin
2
Guillén, Montserrat
2
Haberman, Steven
2
Heras, Antonio
2
Jevtić, Petar
2
Josa-Fombellida, Ricardo
2
Kuznetsov, Alexey
2
Lefevre, Claude
2
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Insurance / Mathematics & economics
Econometric Institute research papers
5
The journal of operational risk
4
Discussion paper / Tinbergen Institute
3
Finance and stochastics
3
Research paper series / Swiss Finance Institute
3
The North American journal of economics and finance : a journal of financial economics studies
3
Finance and economics discussion series
2
International review of economics & finance : IREF
2
Mathematics of operations research
2
Operations research
2
Accounting and finance : journal of the Accounting Association of Australia and New Zealand
1
Astin bulletin : the journal of the International Actuarial Association
1
Issues in finance : credit, crises and policies
1
Journal of banking & finance
1
Journal of banking regulation
1
Journal of econometrics
1
Journal of risk and financial management : JRFM
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
North American actuarial journal
1
Risks : open access journal
1
Swiss Finance Institute Research Paper
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
Tinbergen Institute Discussion Paper
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ECONIS (ZBW)
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1
Risk aggregation with FGM copulas
Blier-Wong, Christopher
;
Cossette, Hélène
;
Marceau, …
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 102-120
Persistent link: https://www.econbiz.de/10014316667
Saved in:
2
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
3
Parametric measures of variability induced by risk measures
Bellini, Fabio
;
Fadina, Tolulope
;
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
106
(
2022
),
pp. 270-284
Persistent link: https://www.econbiz.de/10013380547
Saved in:
4
On sums of two counter-monotonic risks
Chaoubi, Ihsan
;
Cossette, Hélène
;
Gadoury, Simon-Pierre
; …
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 47-60
Persistent link: https://www.econbiz.de/10012242038
Saved in:
5
Ruin-based risk measures in discrete-time risk models
Cossette, Hélène
;
Marceau, Etienne
;
Trufin, Julien
; …
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 246-261
Persistent link: https://www.econbiz.de/10012294129
Saved in:
6
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
7
Collective risk models with dependence
Cossette, Hélène
;
Marceau, Etienne
;
Mtalai, Itre
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 153-168
Persistent link: https://www.econbiz.de/10012058960
Saved in:
8
Dependent risk models with Archimedean copulas : a computational strategy based on common mixtures and applications
Cossette, Hélène
;
Marceau, Etienne
;
Mtalai, Itre
; …
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 53-71
Persistent link: https://www.econbiz.de/10011825212
Saved in:
9
Risk aggregation with dependence uncertainty
Bernhard, Carole
;
Jiang, Xiao
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
54
(
2014
),
pp. 93-108
Persistent link: https://www.econbiz.de/10010259666
Saved in:
10
TVaR-based capital allocation with copulas
Bargès, Mathieu
;
Cossette, Hélène
;
Marceau, Étienne
- In:
Insurance / Mathematics & economics
45
(
2009
)
3
,
pp. 348-361
Persistent link: https://www.econbiz.de/10009517558
Saved in:
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