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Static and dynamic risk capital allocations with the Euler rule
Boonen, Tim J. - In: Journal of risk 22 (2019) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10013177092
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On capital allocation for a risk measure derived from ruin theory
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 104 (2022), pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
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Capital allocation for portfolios with non-linear risk aggregation
Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106
Persistent link: https://www.econbiz.de/10011694391
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A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: European journal of operational research : EJOR 282 (2020) 1, pp. 277-287
Persistent link: https://www.econbiz.de/10012157603