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ArticleWang’s capital allocation formula for elliptically contoured distributions

Emiliano A. Valdez2003

Article2003

Wang’s capital allocation formula for elliptically contoured distributions

Emiliano A. Valdez · Andrew Chernih

74 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

1999Coherent Measures of Risk 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2001Correlation and Dependence 2001Coherent allocation of risk capital 2003Tail Conditional Expectations for Elliptical Distributions 2002Risk Management: Value at Risk and Beyond 1980An Economic Premium Principle 2001Capital Allocation for Insurance Companies

Cited by

2006Solvency, Capital Allocation, and Fair Rate of Return in Insurance 2008Skewed bivariate models and nonparametric estimation for the CTE risk measure 2007Capital Allocation for Insurance Companies — What Good IS IT ?2009Economic Capital and the Aggregation of Risks Using Copulas 2006Selecting Copulas for Risk Management 2016Multivariate tail conditional expectation for elliptical distributions 2008

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Year2003

Typearticle

Published2003-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations74

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2003.07.003

openalex_workW2102500906

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CAPM and Option Pricing With Elliptically Contoured Distributions