Estimating the VaR-induced Euler allocation rule
N.V. Gribkova, J. Su and R. Zitikis
| Year of publication: |
2023
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|---|---|
| Authors: | Gribkova, N. V. ; Su, Jianxi ; Zitikis, R. |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 53.2023, 3, p. 619-635
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| Subject: | quantile regression | Capital allocations | concomitants | conditional mean risk sharing | order statistics | Regressionsanalyse | Regression analysis | Allokation | Allocation | Schätztheorie | Estimation theory | Risiko | Risk | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2023.17 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014342969