Coherent risk measures, coherent capital allocations and the gradient allocation principle
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References listed on IDEAS
- Fuente,Angel de la, 2000. "Mathematical Methods and Models for Economists," Cambridge Books, Cambridge University Press, number 9780521585293, December.
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- Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012. "Optimal Capital Allocation Principles," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(1), pages 1-28, March.
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