Wang's capital allocation formula for elliptically contoured distributions
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References listed on IDEAS
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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, vol. 1(1), pages 1-20, March.
- 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.
- Kume, Alfred & Hashorva, Enkelejd, 2012. "Calculation of Bayes premium for conditional elliptical risks," Insurance: Mathematics and Economics, Elsevier, pages 632-635.
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
- Csóka Péter & Pintér Miklós, 2016.
"On the Impossibility of Fair Risk Allocation,"
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- Csóka, Péter & Pintér, Miklós, 2010. "On the impossibility of fair risk allocation," MPRA Paper 26515, University Library of Munich, Germany.
- Csóka, Péter & Pintér, Miklós, 2014. "On the impossibility of fair risk allocation," Corvinus Economics Working Papers (CEWP) 2014/12, Corvinus University of Budapest.
- 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.
- Li, Deyuan & Peng, Liang, 2009. "Goodness-of-fit test for tail copulas modeled by elliptical copulas," Statistics & Probability Letters, Elsevier, pages 1097-1104.
- Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Multivariate tail conditional expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, pages 216-223.
- 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.
- 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.
- 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.
- Vernic, Raluca, 2006. "Multivariate skew-normal distributions with applications in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 413-426, April.
- Xu, Maochao & Mao, Tiantian, 2013. "Optimal capital allocation based on the Tail Mean–Variance model," Insurance: Mathematics and Economics, Elsevier, pages 533-543.
- 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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