Forecasting compositional risk allocations

DOI10.1016/j.insmatheco.2018.10.002zbMath1419.91350OpenAlexW2896739334WikidataQ129043451 ScholiaQ129043451MaRDI QIDQ1757613

Montserrat Guillen, Tim J. Boonen, Miguel Santolino

Publication date: 15 January 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://pure.uva.nl/ws/files/30875703/20181008Compositional_dynamic_allocation.pdf

zbMATH Keywords

simplexAitchison geometrycapital allocationdynamic risk managementisometric logratio

Mathematics Subject Classification ID

Related Items (4)

An impossibility theorem on capital allocation ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ A compositional analysis of systemic risk in European financial institutions ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited

Uses Software

• compositions
• vars
• robCompositions

Cites Work

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• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

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