An impossibility theorem on capital allocation

DOI10.1080/03461238.2022.2094718OpenAlexW4284971611WikidataQ113851264 ScholiaQ113851264MaRDI QIDQ5887320

Ruodu Wang, Yuanying Guan, Andreas Tsanakas

Publication date: 18 April 2023

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2022.2094718

zbMATH Keywords

Euler allocationstress scenariosshrinking independencetop-down consistency

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Actuarial mathematics (91G05)

Uses Software

• QRM
• CopulaModel

Cites Work

• Unnamed Item
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