An optimization approach to the dynamic allocation of economic capital

DOI10.1016/j.insmatheco.2004.04.002zbMath1079.91037OpenAlexW2134734388MaRDI QIDQ704412

Marc J. Goovaerts, Roger J. A. Laeven

Publication date: 13 January 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.04.002

zbMATH Keywords

value-at-risk stochastic dependence comonotonicity capital allocation risk measurement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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