Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 206-226
In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...