A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited

DOI10.1080/10920277.2020.1774781zbMath1479.91321OpenAlexW3084438234MaRDI QIDQ3385437

Publication date: 18 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2020.1774781

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (3)

Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions

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ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS
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