Multivariate matrix-exponential affine mixtures and their applications in risk theory
Eric C.K. Cheung, Oscar Peralta, Jae-Kyung Woo
| Year of publication: |
2022
|
|---|---|
| Authors: | Cheung, Eric C. K. ; Peralta, Oscar ; Woo, Jae-Kyung |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 106.2022, p. 364-389
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| Subject: | Matrix-exponential distribution | Multivariate affine mixtures | Risk measures | Capital allocation | Multiplicative background risk models | Risiko | Risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risikomodell | Risk model | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | 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.2022.07.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013380617