Pages that link to "Item:Q5204854"
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The following pages link to An efficient approach to quantile capital allocation and sensitivity analysis (Q5204854):
Displaying 19 items.
- Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management (Q635987) (← links)
- Capital allocation rules and acceptance sets (Q2024123) (← links)
- An asymptotic study of systemic expected shortfall and marginal expected shortfall (Q2155852) (← links)
- Avoiding zero probability events when computing value at risk contributions (Q2172041) (← links)
- Stop-loss protection for a large P2P insurance pool (Q2234761) (← links)
- Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction (Q2237821) (← links)
- Modality for scenario analysis and maximum likelihood allocation (Q2657014) (← links)
- \( \tau \)-value for risk capital allocation problems (Q2661559) (← links)
- Haezendonck-Goovaerts capital allocation rules (Q2665852) (← links)
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants (Q2682987) (← links)
- PELVE: probability equivalent level of VaR and ES (Q2697992) (← links)
- Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis (Q3453343) (← links)
- (Q4862268) (← links)
- An impossibility theorem on capital allocation (Q5887320) (← links)
- Simulating risk measures via asymptotic expansions for relative errors (Q6054368) (← links)
- Peer-to-peer risk sharing with an application to flood risk pooling (Q6099429) (← links)
- Holistic principle for risk aggregation and capital allocation (Q6148774) (← links)
- Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models (Q6199670) (← links)
- Estimating the VaR-induced Euler allocation rule (Q6569741) (← links)
