Impact of dependence on some multivariate risk indicators
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- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016. "Impact of dependence on some multivariate risk indicators," Post-Print hal-01171395, HAL.
References listed on IDEAS
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- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015. "A risk management approach to capital allocation," Papers 1506.04125, arXiv.org.
- Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
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- 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.
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- repec:dau:papers:123456789/353 is not listed on IDEAS
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