Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; … - In: Insurance: Mathematics and Economics 42 (2008) 2, pp. 855-863
Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universität München] introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation...