Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
From MaRDI portal
Publication:2665868
DOI10.1016/j.insmatheco.2021.08.012zbMath1475.91313arXiv2102.05003OpenAlexW3196976798MaRDI QIDQ2665868
Edward Furman, Jianxi Su, Nawaf Mohammed
Publication date: 19 November 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.05003
standard simplexconditional covariancesize-biased transformconditional geometric tail expectation-based allocationconditional tail expectation-based allocation
Statistical methods; risk measures (91G70) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Actuarial mathematics (91G05)
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