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ArticleStochastic comparisons of capital allocations with applications

Maochao Xu2011

Article2011

Stochastic comparisons of capital allocations with applications

Maochao Xu · Taizhong Hu

31 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

2002The concept of comonotonicity in actuarial science and finance: theory 2002The concept of comonotonicity in actuarial science and finance: applications 2001Capital Allocation for Insurance Companies 2011Optimal Capital Allocation Principles 2008Weighted risk capital allocations 2007To Split or Not to Split: Capital Allocation with Convex Risk Measures 2011Advanced Mathematical Methods for Finance 2004An optimization approach to the dynamic allocation of economic capital

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Year2011

Typearticle

Published2011-12-31

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations31

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2011.12.004

openalex_workW2008658074

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