Aggregating risk capital, with an application to operational risk

Thumbnail
Metadata only
Author
Embrechts, Paul
Puccetti, Giovanni
Date
2006
Type
  • Journal Article
Publication status
published
External links
Search via SFX
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  
Notes
Received 27 September 2005, Revised 18 July 2006.
More
Show all metadata
Citations
Cited 28 times in Web of Science
ETH Bibliography
yes
Altmetrics