A generalization of Expected Shortfall based capital allocation

Author:

Xun Li,Zhou Yangzhi,Zhou Yong

Funder

National Natural Science Foundation of China

Science and Technology Program of Jilin Educational Department during the “13th Five-Year” Plan Period

State Scholarship Fund of China Scholarship Council

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference26 articles.

1. Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure;Ahn;Insurance Math. Econom.,2014

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3. Optimal portfolios with haezendonck risk measures;Bellini;Stat. Decis. Int. Math. J. Stoch. Methods Model.,2008

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5. General lower bounds on convex functionals of aggregate sums;Cheung;Insurance Math. Econom.,2013

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1. Capital allocation with multivariate convex risk measures;Journal of Industrial and Management Optimization;2023

2. Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity;Communications in Statistics - Theory and Methods;2022-02-02

3. Haezendonck-Goovaerts capital allocation rules;Insurance: Mathematics and Economics;2021-11

4. The conditional Haezendonck–Goovaerts risk measure;Statistics & Probability Letters;2021-02

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