Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors-Reference-Cited by-同舟云学术

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Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors

Published:2010-09 Issue:10 Volume:234 Page:2953-2961
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Hu Fengxia,Wang Rongming

Funder

National Natural Science Foundation of China

National Basic Research Program of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference16 articles.

1. Capital allocation for insurance companies;Myers;Journal of Risk and Insurance,2001

2. An axiomatic approach to capital allocation;Kalkbrener;Mathematical Finance,2005

3. Coherent allocation of risk capital;Denault;Journal of Risk,2001

4. Economic capital allocation derived from risk measures;Dhaene;North American Actuarial Journal,2003

5. Dynamic capital allocation with distortion risk measures;Tsanakas;Insurance: Mathematics and Economics,2004

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. Arrangement Increasing Resource Allocation;Methodology and Computing in Applied Probability;2017-08-01

2. Arrangement Increasing Resource Allocation;SSRN Electronic Journal;2017

3. Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks;Journal of Multivariate Analysis;2015-06

4. Some new notions of dependence with applications in optimal allocation problems;Insurance: Mathematics and Economics;2014-03

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