Coherent risk measures, coherent capital allocations and the gradient allocation principle
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Publication:939355
DOI10.1016/j.insmatheco.2007.02.006zbMath1141.91490OpenAlexW2047081575MaRDI QIDQ939355
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://epub.uni-regensburg.de/3801/1/e1270e8233da016cc233bf7c443eb4125b37.pdf
coherent risk measurescoherent capital allocationsgradient allocation principlerisk capital allocation
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