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Excess based allocation of risk capital
16 references·2 citing·35 second hop
Excess based allocation of risk capital (2011)Excess based allocation of risk capitalModelling Longevity Dynamics for Pensions and Annuity Business (2009)Modelling Longevity Dynamics …AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)AN AXIOMATIC APPROACH TO CAPI…Tail Conditional Expectations for Elliptical Distributions (2003)Tail Conditional Expectations…On the coherence of expected shortfall (2002)On the coherence of expected …On law invariant coherent risk measures (2001)On law invariant coherent ris…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Capital Allocation for Insurance Companies (2001)Capital Allocation for Insura…Risk contributions and performance measurement (2000)Risk contributions and perfor…Coherent Measures of Risk (1999)Coherent Measures of RiskLife Insurance Mathematics (1995)Life Insurance MathematicsModeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Mathematical Methods of Game and Economic Theory (1979)Mathematical Methods of Game …Mathematical methods of game and economic theory (1979)Mathematical methods of game …LEXICOGRAPHIC ORDERS, UTILITIES AND DECISION RULES: A SURVEY (1974)LEXICOGRAPHIC ORDERS, UTILITI…Exceptional Paper—Lexicographic Orders, Utilities and Decision Rules: A Survey (1974)Exceptional Paper—Lexicograph…The Nucleolus of a Characteristic Function Game (1969)The Nucleolus of a Characteri…Redistribution of longevity risk: The effect of heterogeneous mortality beliefs (2016)Redistribution of longevity r…Simple risk measure calculations for sums of positive random variables (2013)Simple risk measure calculati…A value for n -person games (1988)A Course in Game Theory (1994)Expected shortfall and beyond (2002)Measuring the systemic importance of interconnected banks (2013)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Coherent Risk Measures on General Probability Spaces (2002)Lectures on Stochastic Programming (2009)Reviews: Borgatta, Edgar D., ed., Sociological Methodology, 1969. San Francisco, Jossey-Bass, Inc., 1969. 302 + xvi pp. $12.50. (1972)In Search of Methuselah: Estimating the Upper Limits to Human Longevity (1990)Broken Limits to Life Expectancy (2002)Applied Mathematical Demography (2005)Projections of Global Mortality and Burden of Disease from 2002 to 2030 (2006)Forecasting life expectancy, years of life lost, and all-cause and cause-specific mortality for 250 causes of death: reference and alternative scenarios for 2016–40 for 195 countries and territories (2018)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Existence theorem for the bargaining set 𝑀₁^{(𝑖)} (1963)The kernel of a cooperative game (1965)A characterization, existence proof and dimension bounds for the kernel of a game (1966)Cooperative games with coalition structures (1974)Game theoretic analysis of a bankruptcy problem from the Talmud (1985)Monotonic solutions of cooperative games (1985)An Introduction to Copulas (1999)Optimization of conditional value-at-risk (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)Strategy, Complexity, and Economic Rent (1990)GM Foods and the Misperception of Risk Perception (2004)Beyond dual-process models: A categorisation of processes underlying intuitive judgement and decision making (2009)Cooperative Fuzzy Games (1981)Intertemporal asset pricing under knightian uncertainty (2004)Generalised framework for multi-criteria method selection (2018)Bilevel programming in traffic planning: Models, methods and challenge (1995)A Shapley function on a class of cooperative fuzzy games (2001)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1992Modeling and Forecasting U. S. Mortality2,347 cited
  • 1969The Nucleolus of a Characteristic Function Game1,886 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1979Mathematical Methods of Game and Economic Theory812 cited
  • 1979Mathematical methods of game and economic theory681 cited
  • 2001On law invariant coherent risk measures676 cited
  • 1974Exceptional Paper—Lexicographic Orders, Utilities and Decision Rules: A Survey537 cited
  • 2001Coherent allocation of risk capital422 cited
  • 1974LEXICOGRAPHIC ORDERS, UTILITIES AND DECISION RULES: A SURVEY410 cited
  • 2003Tail Conditional Expectations for Elliptical Distributions386 cited
  • 2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION290 cited
  • 2001Capital Allocation for Insurance Companies286 cited
  • 2009Modelling Longevity Dynamics for Pensions and Annuity Business285 cited
  • 2000Risk contributions and performance measurement260 cited
  • 1995Life Insurance Mathematics252 cited

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Cited by

  • 2013Simple risk measure calculations for sums of positive random variables27 cited
  • 2016Redistribution of longevity risk: The effect of heterogeneous mortality beliefs8 cited