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Capital allocation
subadditivity
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Belles-Sampera, Jaume
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1
Tail
subadditivity
of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
2
GlueVaR risk measures in capital allocation applications
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Insurance: Mathematics and Economics
58
(
2014
)
C
,
pp. 132-137
risk measurement, while a subfamily of these risk measures has been shown to satisfy the tail-
subadditivity
property. In …
Persistent link: https://www.econbiz.de/10010930899
Saved in:
3
GlueVaR measures in capital allocation applications
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 132-137
Persistent link: https://www.econbiz.de/10010437586
Saved in:
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