An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (Q1742712)
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scientific article; zbMATH DE number 6858906
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation method for risk aggregations and capital allocation rules based on additive risk factor models |
scientific article; zbMATH DE number 6858906 |
Statements
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models (English)
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12 April 2018
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risk aggregation
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convex lower bound
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capital allocation
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approximation
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generalized gamma distribution
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0.87142134
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0.8690428
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0.8637334
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0.8598279
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0.85925925
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0.85439813
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0.8528112
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0.84664035
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