TVaR-based capital allocation with copulas
| Year of publication: |
2009
|
|---|---|
| Authors: | Bargès, Mathieu ; Cossette, Hélène ; Marceau, Étienne |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : North Holland Publ. Co, ISSN 0167-6687, ZDB-ID 8864x. - Vol. 45.2009, 3, p. 348-361
|