Capital allocation for portfolios with non-linear risk aggregation - Research Collection

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Author

Boonen, Tim J.

Tsanakas, Andreas

Wüthrich, Mario V.

Date

2017-01

Type

Journal Article

Citations

Cited 3 times in Web of Science

Cited 3 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1016/j.insmatheco.2016.11.003

Journal / series

Insurance: Mathematics & Economics

Volume

72

Pages / Article No.

95 - 106

Publisher

Elsevier

Subject

Capital allocation; Euler rule; Fuzzy core; Aumann-Shapley value; Risk measures

Organisational unit

08813 - Wüthrich, Mario Valentin (Tit.-Prof.)

Notes

Published online 21 November 2016.

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Citations

Cited 3 times in Web of Science

Cited 3 times in Scopus

ETH Bibliography

yes

Altmetrics