Capital allocation for portfolios with non-linear risk aggregation
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Publication:506075
DOI10.1016/j.insmatheco.2016.11.003zbMath1394.91191OpenAlexW3123427625MaRDI QIDQ506075
Tim J. Boonen, Mario V. Wüthrich, Andreas Tsanakas
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/15846/1/BTW_WP.pdf
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Related Items (11)
An impossibility theorem on capital allocation ⋮ Set optimization of set-valued risk measures ⋮ \( \tau \)-value for risk capital allocation problems ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Capital allocation with multivariate convex risk measures ⋮ Dynamic capital allocation with irreversible investments ⋮ Distortion measures and homogeneous financial derivatives ⋮ Forecasting compositional risk allocations ⋮ A generalization of the Aumann-Shapley value for risk capital allocation problems ⋮ A cooperative bargaining framework for decentralized portfolio optimization ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
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