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Quantile-Based Risk Sharing - MaRDI portal

Quantile-Based Risk Sharing (Q4971388)

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scientific article; zbMATH DE number 7258959
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English
Quantile-Based Risk Sharing
scientific article; zbMATH DE number 7258959

    Statements

    title
    Quantile-Based Risk Sharing (English)
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    author
    Paul Embrechts
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    Haiyan Liu
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    Ruodu Wang
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    publication date
    12 October 2020
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    zbMATH Keywords
    value-at-risk
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    expected shortfall
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    risk sharing
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    regulatory capital
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    robustness
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    Arrow-Debreu equilibrium
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    cites work
    Q5807957
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    Q3182207
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    Q3526970
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    Robustness
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    Robust Statistics
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    Q4552656
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    Q5253267
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    Q5702484
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    Identifiers

    zbMATH DE Number
    7258959
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    OpenAlex ID
    W3123093843
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