Risk capital allocation with autonomous subunits: the Lorenz set

DOI10.1016/j.insmatheco.2015.12.002zbMath1348.91148OpenAlexW2260586530MaRDI QIDQ282289

Aleksandrs Smilgins, Jens Leth Hougaard

Publication date: 12 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.002

zbMATH Keywords

cost allocationcoherent risk allocationEgalitarian allocationLorenz undominated elements of the corerisk capital

Mathematics Subject Classification ID

Related Items (4)

Risk capital allocation with autonomous subunits: the Lorenz set ⋮ Capital allocation for portfolios with non-linear risk aggregation ⋮ Properties and comparison of risk capital allocation methods ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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