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Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 61 (2015), pp. 206-226

Persistent link: https://www.econbiz.de/10010515883

Skewed distributions in finance and actuarial science : a review

Adcock, Christopher; Eling, Martin; Loperfido, Nicola - In: The European journal of finance 21 (2015) 13/15, pp. 1253-1281

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On a bivariate risk process with a dividend barrier strategy

Liu, Luyin; Cheung, Eric C. K. - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 1, pp. 3-35

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Liquidity effects in banks’ capital allocation decisions

Alcântara, Wenersamy Ramos de - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 163-170

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Optimal capital allocation based on the Tail Mean-Variance model

Xu, Maochao; Mao, Tiantian - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 533-543

Persistent link: https://www.econbiz.de/10010227966

Optimal capital allocation in a hierarchical corporate structure

Zaks, Yaniv; Tsanakas, Andreas - In: Insurance / Mathematics & economics 56 (2014), pp. 48-55

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Businesses risks aggregation with Copula

Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

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What is the best risk measure in practice? : a comparsion of standard measures

Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60

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The marginal cost of risk, risk measures, and capital allocation

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Multivariate TVaR-based risk decomposition for vector-valued portfolios

Mailhot, Mélina; Mesfioui, Mhamed - In: Risks : open access journal 4 (2016) 4, pp. 1-16

In order to protect stakeholders of insurance companies and financial institutions against adverse outcomes of risky businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has become important to calculate the contribution of each...

Persistent link: https://www.econbiz.de/10011556505