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Excess based allocation of risk capital
Gulick, Gerwald van; De Waegenaere, Anja; Norde, Henk - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 26-42
Persistent link: https://www.econbiz.de/10009501704
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Risk capital allocation with autonomous subunits : the Lorenz set
Hougaard, Jens Leth; Smilgins, Aleksandrs - In: Insurance / Mathematics & economics 67 (2016), pp. 151-157
Persistent link: https://www.econbiz.de/10011457222
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Factor risk quantification in annuity models
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew - In: Insurance / Mathematics & economics 58 (2014), pp. 34-45
Persistent link: https://www.econbiz.de/10010437638
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Asymptotics for risk capital allocations based on conditional tail expectation
Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 310-324
Persistent link: https://www.econbiz.de/10009404721
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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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Weighted risk capital allocations in the presence of systematic risk
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas - In: Insurance / Mathematics & economics 79 (2018), pp. 75-81
Persistent link: https://www.econbiz.de/10011825387
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Coherent risk measures, coherent capital allocations and the gradient allocation principle
Buch, A.; Dorfleitner, G. - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 235-242
Persistent link: https://www.econbiz.de/10003682207
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Risk measures, distortion parameters, and their empirical estimation
Jones, Bruce L.; Zitikis, Ričardas - In: Insurance / Mathematics & economics 41 (2007) 2, pp. 279-297
Persistent link: https://www.econbiz.de/10003755648
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A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
Cheung, Eric C. K.; Landriault, David - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 127-134
Persistent link: https://www.econbiz.de/10003953315
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Special issue: Longevity risk and capital markets
Nijman, Theodore E. (contributor) - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 139-270
Persistent link: https://www.econbiz.de/10003953319