Contribution values for allocation of risk capital and for premium calculation
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Author / Producer
Date
2006-02
Publication Type
Conference Paper
ETH Bibliography
yes
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Publication status
published
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Pages / Article No.
Publisher
ETH Zürich
Event
2005 Workshop on Mathematical Finance and Actuarial Mathematics
Edition / version
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Software
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Date created
Subject
Allocation of risk capital; Insurance premium; Coherent risk measure; Expected Shortfall; Uniformisation; Copula
Organisational unit
03440 - Delbaen, Freddy (emeritus)