Risk capital allocation and cooperative pricing of insurance liabilities
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 33 (2003)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Boonen, T.J. & De Waegenaere, A.M.B. & Norde, H.W., 2012. "A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems," Discussion Paper, Tilburg University, Center for Economic Research 2012-091, Tilburg University, Center for Economic Research.
- Tsanakas, Andreas, 2008. "Risk measurement in the presence of background risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 520-528, April.
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- Alexandru V. Asimit & Raluca Vernic & Riċardas Zitikis, 2013. "Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 1(1), pages 14-33, March.
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