Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Edward Furman, Yisub Kye, Jianxi Su
| 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
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482842