Capital allocation for portfolios with non-linear risk aggregation

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Author
Boonen, Tim J.
Tsanakas, Andreas
Wüthrich, Mario V.
Date
2017-01
Type
  • Journal Article
Publication status
published
External links
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Journal / series
Insurance: Mathematics & Economics
Volume
72
Pages
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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Cited 1 times in Web of Science
Cited 1 times in Scopus
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