Weighted risk capital allocations in the presence of systematic risk
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Publication:1742709
DOI10.1016/j.insmatheco.2017.12.010zbMath1401.91139OpenAlexW2776841054MaRDI QIDQ1742709
Edward Furman, Alexey Kuznetsov, Ričardas Zitikis
Publication date: 12 April 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.12.010
systematic riskGini measure of variabilityweighted insurance pricing modelweighted risk capital allocationweighted risk measure
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Uses Software
Cites Work
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