Capital Allocation Using the Bootstrap
From MaRDI portal
Publication:5168712
DOI10.1080/10920277.2011.10597635zbMath1291.91116OpenAlexW2134335798MaRDI QIDQ5168712
Publication date: 19 July 2014
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2011.10597635
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Bias correction for estimated distortion risk measure using the bootstrap
- Estimating conditional tail expectation with actuarial applications in view
- Weighted risk capital allocations
- Some results on the CTE-based capital allocation rule
- A capital allocation based on a solvency exchange option
- Non-additive measure and integral
- Wang's capital allocation formula for elliptically contoured distributions.
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Stochastic comparisons and dependence among concomitants of order statistics
- Bootstrap approximation of distributions of the \(L\)-statistics
- The jackknife and bootstrap
- Risk measures, distortion parameters, and their empirical estimation
- VaR is subject to a significant positive bias
- Testing hypotheses about the equality of several risk measure values with applications in insurance
- Coherent Measures of Risk
- Estimating the Variance of Bootstrapped Risk Measures
- Risk Measures and Comonotonicity: A Review
- NestedL-statistics and their use in comparing the riskiness of portfolios
- Order Statistics
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- The Exact Bootstrap Mean and Variance of an L-estimator
- Applying the Proportional Hazard Premium Calculation Principle
- Quantifying and Correcting the Bias in Estimated Risk Measures
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms
- Economic Capital Allocation Derived from Risk Measures
- Representative Interest Rate Scenarios
- Inequalities: theory of majorization and its applications
This page was built for publication: Capital Allocation Using the Bootstrap
