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~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
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An optimization approach to the dynamic allocation of economic capital
Laeven, Roger J.A.
;
Goovaerts, Marc J.
-
2003
(X) = sup(E[X|A]|P[A] > α), α ∈ (0,1) (2) as alternatives to the widely applied
Value-at-Risk
(VaR) measure of risk. In a …
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