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Risk capital decomposition for a multivariate dependent gamma portfolio

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  • Furman, Edward
  • Landsman, Zinoviy
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4GWC0KR-1/2/b91bd43ea2243f2a2710b5d44bab6bf4
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 37 (2005)
    Issue (Month): 3 (December)
    Pages: 635-649

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    Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:635-649

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    Web page: http://www.elsevier.com/locate/inca/505554

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    References

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    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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    1. Mathai, A. M. & Moschopoulos, P. G., 1991. "On a multivariate gamma," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 135-153, October.
    2. Edward Zaik & John Walter & Gabriela Retting & Christopher James, 1996. "Raroc At Bank Of America: From Theory To Practice," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(2), pages 83-93.
    3. repec:cup:cbooks:9780521247818 is not listed on IDEAS
    4. repec:cup:cbooks:9780521289573 is not listed on IDEAS
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    Cited by:
    1. Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S., 2008. "Some results on the CTE-based capital allocation rule," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 855-863, April.
    2. Cossette, Hélène & Mailhot, Mélina & Marceau, Étienne, 2012. "TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 247-256.
    3. Furman, Edward, 2008. "On a multivariate gamma distribution," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2353-2360, October.
    4. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    5. Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
    6. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
    7. Owadally, Iqbal & Landsman, Zinoviy, 2013. "A characterization of optimal portfolios under the tail mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 213-221.
    8. Daniel Alai & Zinoviy Landsman & Michael Sherris, 2012. "Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution," Working Papers 201211, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    9. 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.
    10. Landsman, Zinoviy, 2010. "On the Tail Mean-Variance optimal portfolio selection," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 547-553, June.
    11. Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca, 2008. "Skewed bivariate models and nonparametric estimation for the CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 386-393, December.
    12. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.
    13. 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.

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