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Stochastic comparisons of capital allocations with applications
13 references·0 citing·41 second hop
Stochastic comparisons of capital allocations with applications (2011)Stochastic comparisons of capital allocat…Optimal Capital Allocation Principles (2011)Optimal Capital Allocation Pr…An Overview of Comonotonicity and Its Applications in Finance and Insurance (2011)An Overview of Comonotonicity…Advanced Mathematical Methods for Finance (2011)Advanced Mathematical Methods…Decision principles derived from risk measures (2010)Decision principles derived f…Weighted risk capital allocations (2008)Weighted risk capital allocat…To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007)To Split or Not to Split: Cap…Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level (2006)Optimal Pricing of a Heteroge…Optimal allocation of policy limits and deductibles (2006)Optimal allocation of policy …An optimization approach to the dynamic allocation of economic capital (2004)An optimization approach to t…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity…Capital Allocation for Insurance Companies (2001)Capital Allocation for Insura…Extension of the bivariate characterization for stochastic orders (1992)Extension of the bivariate ch…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Capital Market Equilibrium with Restricted Borrowing (1972)Coherent Measures of Risk (1999)Weighted Pricing Functionals With Applications to Insurance (2009)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks (2016)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing: A simplified approach (1979)Financial valuation of guaranteed minimum withdrawal benefits (2005)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Portfolio Selection: Efficient Diversification of Investments (1959)Maxmin expected utility with non-unique prior (1989)On the Interplay between Distortion, Mean Value and Haezendonck-Goovaerts Risk Measures (2011)The connection between distortion risk measures and ordered weighted averaging operators (2013)Risk-adjusted Bowley reinsurance under distorted probabilities (2019)Theory of games and economic behavior (2019)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pricing and capital allocation in catastrophe insurance (2002)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers (2007)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Capital Allocation for Insurance Companies — What Good IS IT ? (2007)Convex measures of risk and trading constraints (2002)On the coherence of expected shortfall (2002)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)An Introduction to Copulas (1999)A new characterization of comonotonicity and its application in behavioral finance (2014)General convex order on risk aggregation (2015)The multivariate Variance Gamma model: basket option pricing and calibration (2015)The Nucleolus of a Characteristic Function Game (1969)A theory of anticipated utility (1982)Crowded Positions: An Overlooked Systemic Risk for Central Clearing Parties* (2017)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets (2012)Risk-consistent conditional systemic risk measures (2016)Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance (2022)
this work references cited by second hop

References

  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 2001Capital Allocation for Insurance Companies286 cited
  • 2011Optimal Capital Allocation Principles224 cited
  • 2008Weighted risk capital allocations139 cited
  • 2007To Split or Not to Split: Capital Allocation with Convex Risk Measures130 cited
  • 2011Advanced Mathematical Methods for Finance115 cited
  • 2004An optimization approach to the dynamic allocation of economic capital89 cited
  • 2011An Overview of Comonotonicity and Its Applications in Finance and Insurance74 cited
  • 2010Decision principles derived from risk measures49 cited
  • 2006Optimal allocation of policy limits and deductibles44 cited
  • 2006Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level40 cited
  • 1992Extension of the bivariate characterization for stochastic orders22 cited

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