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Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
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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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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