On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
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References listed on IDEAS
- Michael Kalkbrener, 2009. "An axiomatic characterization of capital allocations of coherent risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 961-965.
- Fischer, T., 2003. "Risk capital allocation by coherent risk measures based on one-sided moments," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 135-146, February.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-09 (All new papers)
- NEP-IAS-2013-11-09 (Insurance Economics)
- NEP-RMG-2013-11-09 (Risk Management)
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