Euler allocations in the presence of non-linear reinsurance : comment on Major (2018)
Silvana M. Pesenti, Andreas Tsanakas, Pietro Millossovich
| Year of publication: |
November 2018
|
|---|---|
| Authors: | Pesenti, Silvana M. ; Tsanakas, Andreas ; Millossovich, Pietro |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 83.2018, p. 29-31
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| Subject: | Distortion risk measures | Capital allocation | Euler allocation | Aumann–Shapley | Reinsurance | Aggregation | Rückversicherung | Allokation | Allocation | Theorie | Theory | Risikomaß | Risk measure | Variationsrechnung | Variational method | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomodell | Risk model | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.09.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944091