Wang's capital allocation formula for elliptically contoured distributions
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 33 (2003)
Issue (Month): 3 (December)
Contact details of provider:
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.:
- Cambanis, Stamatis & Huang, Steel & Simons, Gordon, 1981. "On the theory of elliptically contoured distributions," Journal of Multivariate Analysis, Elsevier, vol. 11(3), pages 368-385, September.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- N. H. Bingham & Rudiger Kiesel, 2002. "Semi-parametric modelling in finance: theoretical foundations," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 241-250.
- David Pitt & Montserrat Guillén, 2010. "An introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions," Working Papers XREAP2010-03, Xarxa de Referència en Economia Aplicada (XREAP), revised Mar 2010.
- 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, vol. 1(1), pages 14-33, March.
- Xu, Maochao & Mao, Tiantian, 2013. "Optimal capital allocation based on the Tail Mean–Variance model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 533-543.
- Vernic, Raluca, 2006. "Multivariate skew-normal distributions with applications in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 413-426, April.
- Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006.
"Selecting Copulas for Risk Management,"
CEPR Discussion Papers
5652, C.E.P.R. Discussion Papers.
- Peter Csoka & Miklos Pinter, 2011.
"On the Impossibility of Fair Risk Allocation,"
IEHAS Discussion Papers
1117, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
- David Pitt & Montserrat Guillen & Catalina Bolancé, 2011. "Estimation of Parametric and Nonparametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers XREAP2011-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2011.
- Li, Deyuan & Peng, Liang, 2009. "Goodness-of-fit test for tail copulas modeled by elliptical copulas," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1097-1104, April.
- Kume, Alfred & Hashorva, Enkelejd, 2012. "Calculation of Bayes premium for conditional elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 632-635.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.