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Asymptotic capital allocation based on the higher moment risk measure - MaRDI portal

Asymptotic capital allocation based on the higher moment risk measure

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Publication:6593150

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DOI10.1007/s13385-024-00378-4zbMath1542.91339MaRDI QIDQ6593150

Jiajun Liu, Yiqing Chen

Publication date: 26 August 2024

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

zbMATH Keywords

capital allocation asymptotic independence/dependence higher moment risk measure univariate/multivariate regular variation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

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