An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
Year of publication: |
March 2018
|
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Authors: | Zhou, Ming ; Dhaene, Jan ; Yao, Jing |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 79.2018, p. 92-100
|
Subject: | Risk aggregation | Convex lower bound | Capital allocation | Approximation | Generalized Gamma distribution | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Aggregation | Statistische Verteilung | Statistical distribution |
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