Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Year of publication: |
2021
|
---|---|
Authors: | Furman, Edward ; Kye, Yisub ; Su, Jianxi |
Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 96.2021, p. 153-167
|
Subject: | Systemic risk | Size-biased distribution | Phase-type distribution | Conditional tail expectation | Economic capital allocation | Risiko | Risk | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Risikomodell | Risk model | Portfolio-Management | Portfolio selection | Systemrisiko | Risikomaß | Risk measure |
-
Asimit, Alexandru V., (2013)
-
The impact of systemic risk on the diversification benefits of a risk portfolio
Busse, Marc, (2014)
-
TERES: tail event risk expectile based shortfall
Gschöpf, Philipp, (2015)
- More ...
-
Furman, Edward, (2021)
-
Computing the Gini index : a note
Furman, Edward, (2019)
-
Discussion on "size-biased risk measures of compound sums," by Michel Denuit, January 2020
Furman, Edward, (2021)
- More ...