Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure-Reference-Cited by-同舟云学术

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Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure

Published:2021-09 Issue: Volume:100 Page:329-349
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Cai Jun,Wang Ying

Funder

Natural Sciences and Engineering Research Council of Canada

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

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

Reference31 articles.

1. Convexity and Optimization in Banach Spaces;Barbu,2012

2. Beyond value-at-risk: GlueVaR distortion risk measure;Belles-Sampera;Risk Analysis,2014

3. GlueVaR risk measures in capital allocation applications;Belles-Sampera;Insurance. Mathematics & Economics,2014

4. Mathematical Methods in Risk Theory;Bühlmann,1970

5. Conditional tail expectations for multivariate phase type distributions;Cai;Journal of Applied Probability,2005

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1. The Tail Mean–Variance optimal capital allocation under the extended skew-elliptical distribution;Journal of Computational and Applied Mathematics;2024-10

2. Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance;European Journal of Operational Research;2024-10

3. Haircut Capital Allocation as the Solution of a Quadratic Optimisation Problem;Mathematics;2023-09-07

4. Asymptotic results on tail moment and tail central moment for dependent risks;Advances in Applied Probability;2023-05-08

5. Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation;European Journal of Operational Research;2023-04

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