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Wang’s capital allocation formula for elliptically contoured distributions
14 references·10 citing·34 second hop
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2001Correlation and Dependence456 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 1980An Economic Premium Principle332 cited
  • 2001Capital Allocation for Insurance Companies286 cited
  • 2000Risk contributions and performance measurement260 cited
  • 2002Economic capital allocation derived from risk measures198 cited
  • 1984The General Economic Premium Principle173 cited
  • 1998Utility Functions164 cited
  • 2002MEASUREMENT OF RISK, SOLVENCY REQUIREMENTS AND ALLOCATION OF CAPITAL WITHIN FINANCIAL CONGLOMERATES122 cited
  • 2002Semi-parametric modelling in finance: theoretical foundations120 cited

Cited by

  • 2006Solvency, Capital Allocation, and Fair Rate of Return in Insurance92 cited
  • 2008Skewed bivariate models and nonparametric estimation for the CTE risk measure

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70 cited
  • 2007Capital Allocation for Insurance Companies — What Good IS IT ?70 cited
  • 2009Economic Capital and the Aggregation of Risks Using Copulas56 cited
  • 2006Selecting Copulas for Risk Management54 cited
  • 2016Multivariate tail conditional expectation for elliptical distributions46 cited
  • 2017A Multivariate Tail Covariance Measure for Elliptical Distributions35 cited
  • 2013Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model35 cited
  • 2004Tail Conditional Variance for Elliptically Contoured Distributions35 cited
  • 2008CAPM and Option Pricing With Elliptically Contoured Distributions33 cited