Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model

Author:

Asimit Alexandru,Vernic Raluca,Zitikis Riċardas

Publisher

MDPI AG

Subject

Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting

Reference65 articles.

1. Actuarial Theory for Dependent Risk: Measures, Orders and Models;Denuit,2005

2. Modeling, Measuring and Managing Risk;Pflug,2007

3. Risk Measures and Theories of Choice

4. Axiomatic characterization of insurance prices

5. Premium Principles;Young,2004

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