Haezendonck-Goovaerts capital allocation rules-Reference-Cited by-同舟云学术

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Haezendonck-Goovaerts capital allocation rules

Published:2021-11 Issue: Volume:101 Page:173-185
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Canna Gabriele^ORCID,Centrone Francesca,Rosazza Gianin Emanuela^ORCID

Publisher

Elsevier BV

Subject

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

Reference29 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. An efficient approach to quantile capital allocation and sensitivity analysis;Asimit;Mathematical Finance,2019

3. Generalized quantiles as risk measures;Bellini;Insurance. Mathematics & Economics,2014

4. Robust return risk measures;Bellini;Mathematics and Financial Economics,2018

5. On Haezendonck risk measures;Bellini;Journal of Banking & Finance,2008

Cited by 5 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. Orlicz risks for assessing stochastic streamflow environments: a static optimization approach;Stochastic Environmental Research and Risk Assessment;2023-10-04

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

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

4. The gradient allocation principle based on the higher moment risk measure;Journal of Banking & Finance;2022-10

5. An impossibility theorem on capital allocation;Scandinavian Actuarial Journal;2022-07-08

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