Aggregating risk capital, with an application to operational risk - Research Collection

Metadata only

Author

Embrechts, Paul

Puccetti, Giovanni

Date

2006

Type

Journal Article

Citations

Cited 29 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1007/s10713-006-0556-6

Journal / series

The Geneva risk and insurance review

Volume

31(2)

Pages / Article No.

71 - 90

Publisher

Palgrave Macmillan

Subject

Risk aggregation; Dependency bounds; Operational risk; Mass transportation duality theorem; Global optimization

Organisational unit

03288 - Embrechts, Paul (emeritus)

Notes

Received 27 September 2005, Revised 18 July 2006.

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Citations

Cited 29 times in Web of Science

ETH Bibliography

yes

Altmetrics