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ArticleExcess based allocation of risk capital

Gerwald van Gulick2011

Article2011

Excess based allocation of risk capital

Gerwald van Gulick · Anja M. B. De Waegenaere · Henk W. Norde

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

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

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References

1999Coherent Measures of Risk 1992Modeling and Forecasting U. S. Mortality 1969The Nucleolus of a Characteristic Function Game 2002On the coherence of expected shortfall 1979Mathematical Methods of Game and Economic Theory 1979Mathematical methods of game and economic theory 2001On law invariant coherent risk measures 1974Exceptional Paper—Lexicographic Orders, Utilities and Decision Rules: A Survey

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Year2011

Typearticle

Published2011-10-02

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations27

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.insmatheco.2011.09.003

openalex_workW3123382209

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