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Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
16 references·0 citing·38 second hop
Economic Capital Allocations for Non-negative Portfolios of Dependent Risks (2008)Economic Capital Allocations for Non-nega…Weighted risk capital allocations (2008)Weighted risk capital allocat…Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryWeighted premium calculation principles (2007)Weighted premium calculation …Tail Variance Premium with Applications for Elliptical Portfolio of Risks (2006)Tail Variance Premium with Ap…Risk measures and comonotonicity (2006)Risk measures and comonotonic…Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Actuarial Theory for Dependen…Actuarial Theory for Dependent Risks (2005)Actuarial Theory for Dependen…Tail Conditional Expectations for Elliptical Distributions (2003)Tail Conditional Expectations…On the coherence of expected shortfall (2002)On the coherence of expected …Modern Actuarial Risk Theory (2002)Modern Actuarial Risk TheoryExpected shortfall and beyond (2002)Expected shortfall and beyondCoherent allocation of risk capital (2001)Coherent allocation of risk c…Coherent Measures of Risk (1999)Coherent Measures of RiskAxiomatic characterization of insurance prices (1997)Axiomatic characterization of…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995)Insurance pricing and increas…A value for n -person games (1988)A Course in Game Theory (1994)AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)Measuring the systemic importance of interconnected banks (2013)Essays in the Theory of Risk-Bearing. (1972)The Pricing of Options and Corporate Liabilities (1973)An Introduction to Copulas (1999)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Robustness and sensitivity analysis of risk measurement procedures (2010)What is the best risk measure in practice? A comparison of standard measures (2015)Optimization of conditional value-at-risk (2000)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Capital Allocation for Insurance Companies (2001)Correlation and Dependence (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Hierarchical Insurance Claims Modeling (2008)Optimal Capital Allocation Principles (2011)Theory of Games and Economic Behavior (1945)A solution approach to valuation with unhedgeable risks (2001)Measures of risk (2002)Dynamic coherent risk measures (2004)Subjective probability and expected utility without additivity (2004)Theory of games and economic behavior (2019)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)Stochastic Processes for Insurance and Finance (1999)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)The concept of comonotonicity in actuarial science and finance: applications (2002)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2005Actuarial Theory for Dependent Risks536 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models498 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2002Expected shortfall and beyond408 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 1995Insurance pricing and increased limits ratemaking by proportional hazards transforms338 cited
  • 2006Risk measures and comonotonicity311 cited
  • 2002Modern Actuarial Risk Theory282 cited
  • 2006Tail Variance Premium with Applications for Elliptical Portfolio of Risks168 cited
  • 2007Weighted premium calculation principles147 cited
  • 2008Weighted risk capital allocations139 cited

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