On capital allocation for a risk measure derived from ruin theory
Year of publication: |
2022
|
---|---|
Authors: | Delsing, G. A. ; Mandjes, Michel ; Spreij, P. J. C. ; Winands, E. M. M. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 104.2022, p. 76-98
|
Subject: | Gradient allocation method | Insurance risk | Risk capital allocation | Ruin probability | Value-at-risk (VaR) | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomodell | Risk model | VAR-Modell | VAR model | Allokation | Allocation | Risikomanagement | Risk management | Wahrscheinlichkeitsrechnung | Probability theory | Risikokapital | Venture capital |
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