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Wang's capital allocation formula for elliptically contoured distributions

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  • Valdez, Emiliano A.
  • Chernih, Andrew

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  • Valdez, Emiliano A. & Chernih, Andrew, 2003. "Wang's capital allocation formula for elliptically contoured distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 517-532, December.
  • Handle: RePEc:eee:insuma:v:33:y:2003:i:3:p:517-532
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    References listed on IDEAS

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    1. Bühlmann, Hans, 1984. "The General Economic Premium Principle," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 14(01), pages 13-21, April.
    2. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    3. 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.
    4. N. H. Bingham & Rudiger Kiesel, 2002. "Semi-parametric modelling in finance: theoretical foundations," Quantitative Finance, Taylor & Francis Journals, pages 241-250.
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    Citations

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    Cited by:

    1. 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 1-20, March.
    2. Catalina Bolance & Montserrat Guillen & David Pitt, 2014. "Non-parametric Models for Univariate Claim Severity Distributions - an approach using R," Working Papers 2014-01, Universitat de Barcelona, UB Riskcenter.
    3. Kume, Alfred & Hashorva, Enkelejd, 2012. "Calculation of Bayes premium for conditional elliptical risks," Insurance: Mathematics and Economics, Elsevier, pages 632-635.
    4. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
    5. Csóka Péter & Pintér Miklós, 2016. "On the Impossibility of Fair Risk Allocation," The B.E. Journal of Theoretical Economics, De Gruyter, pages 143-158.
    6. Li, Deyuan & Peng, Liang, 2009. "Goodness-of-fit test for tail copulas modeled by elliptical copulas," Statistics & Probability Letters, Elsevier, pages 1097-1104.
    7. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Multivariate tail conditional expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, pages 216-223.
    8. Asimit, Alexandru V. & Furman, Edward & Tang, Qihe & Vernic, Raluca, 2011. "Asymptotics for risk capital allocations based on Conditional Tail Expectation," Insurance: Mathematics and Economics, Elsevier, pages 310-324.
    9. 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.
    10. 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.
    11. Vernic, Raluca, 2006. "Multivariate skew-normal distributions with applications in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 413-426, April.
    12. Xu, Maochao & Mao, Tiantian, 2013. "Optimal capital allocation based on the Tail Mean–Variance model," Insurance: Mathematics and Economics, Elsevier, pages 533-543.
    13. Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2017. "Properties and comparison of risk capital allocation methods," European Journal of Operational Research, Elsevier, vol. 259(2), pages 614-625.

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