Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios-Reference-Cited by-同舟云学术

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Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios

Published:2016-09-23 Issue:4 Volume:4 Page:33
ISSN:2227-9091
Container-title:Risks
language:en
Short-container-title:Risks

Author:

Mailhot Mélina,Mesfioui Mhamed

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

MDPI AG

Subject

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

Link

http://www.mdpi.com/2227-9091/4/4/33/pdf

Reference25 articles.

1. Solvency, Capital Allocation, and Fair Rate of Return in Insurance

2. A capital allocation based on a solvency exchange option

3. Optimal Capital Sllocation Principles;Dhaene,2009

4. Optimal Capital Allocation Principles

5. TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

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1. Remarks on a copula‐based conditional value at risk for the portfolio problem;Intelligent Systems in Accounting, Finance and Management;2023-07

2. Risk allocation through shapley decompositions, with applications to variable annuities;ASTIN Bulletin;2023-03-13

3. Pricing Interdependent Insurance Risks: TVaR Premium Allocation Principle and Its Properties;SSRN Electronic Journal;2023

4. Asymptotic risk decomposition for regularly varying distributions with tail dependence;Applied Mathematics and Computation;2022-08

5. Risk allocation through Shapley decompositions with applications to variable annuities;SSRN Electronic Journal;2022

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