Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
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Publication:2234769
DOI10.1016/j.insmatheco.2021.06.005zbMath1471.91451OpenAlexW3175957685MaRDI QIDQ2234769
Publication date: 19 October 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.06.005
risk measureoptimal capital allocationextreme tail eventsgeneralized inverse functionhierarchical corporate structure
Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Actuarial mathematics (91G05)
Related Items (4)
Asymptotic results on tail moment and tail central moment for dependent risks ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ Capital allocation with multivariate convex risk measures ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
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