On a capital allocation by minimization of some risk indicators-Reference-Cited by-同舟云学术

On a capital allocation by minimization of some risk indicators

Published:2016-02-20 Issue:1 Volume:6 Page:177-196
ISSN:2190-9733
Container-title:European Actuarial Journal
language:en
Short-container-title:Eur. Actuar. J.

Author:

Maume-Deschamps V.,Rullière D.,Said K.^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s13385-016-0123-1.pdf

Reference28 articles.

1. Artzner P, Delbaen F, Eber J-M, Heath D (1999) Coherent measures of risk. Math Finance 9(3):203–228

2. Balog D (2011) Capital allocation in financial institutions: the Euler method. Iehas discussion papers, Institute of Economics, Hungarian Academy of Sciences, June 2011

3. Bellini F, Bignozzi V (2013) Elicitable risk measures. Available at SSRN 2334746:

4. Borch K (1962) Equilibrium in a reinsurance market. Econometrica 30:424–444

5. Brunnermeier MK, Cheridito P (2014) Measuring and allocating systemic risk. Available at SSRN 2372472:

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Some systemic risk indicators;Risk and Decision Analysis;2023-12-14

2. Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure;Insurance: Mathematics and Economics;2021-09

3. Modality for scenario analysis and maximum likelihood allocation;Insurance: Mathematics and Economics;2021-03

4. Multivariate extensions of expectiles risk measures;Dependence Modeling;2017-01-26