Excess based allocation of risk capital

DOI10.1016/j.insmatheco.2011.09.003zbMath1238.91141OpenAlexW3123382209MaRDI QIDQ2427804

Henk Norde, Anja De Waegenaere, Gerwald van Gulick

Publication date: 18 April 2012

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

Full work available at URL: https://research.tilburguniversity.edu/en/publications/f9231521-fea7-4524-8fea-83ece004ab49

zbMATH Keywords

capital allocationrisk capitallexicographic minimumexcesses

Mathematics Subject Classification ID

Linear programming (90C05) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (9)

Risk capital allocation with autonomous subunits: the Lorenz set ⋮ \( \tau \)-value for risk capital allocation problems ⋮ Preference robust distortion risk measure and its application ⋮ Simple risk measure calculations for sums of positive random variables ⋮ Redistribution of longevity risk: the effect of heterogeneous mortality beliefs ⋮ Properties and comparison of risk capital allocation methods ⋮ A generalization of the Aumann-Shapley value for risk capital allocation problems ⋮ GlueVaR risk measures in capital allocation applications ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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