On capital allocation for a risk measure derived from ruin theory
G.A. Delsing, M.R.H. Mandjes, P.J.C. Spreij, E.M.M. Winands
| 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) | Risikomaß | Risk measure | Risiko | Risk | Risikomodell | Risk model | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Allokation | Allocation | Messung | Measurement | Versicherung | Insurance | Versicherungsmathematik | Actuarial mathematics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2022.02.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013264939