Aggregating risk capital, with an application to operational risk
dc.contributor.author
Embrechts, Paul
dc.contributor.author
Puccetti, Giovanni
dc.date.accessioned
2017-06-08T15:28:21Z
dc.date.available
2017-06-08T15:28:21Z
dc.date.issued
2006
dc.identifier.issn
1554-964X
dc.identifier.issn
0926-4957
dc.identifier.issn
1554-9658
dc.identifier.issn
1573-6954
dc.identifier.other
10.1007/s10713-006-0556-6
dc.identifier.uri
http://hdl.handle.net/20.500.11850/1356
dc.language.iso
en
dc.publisher
Palgrave Macmillan
dc.subject
Risk aggregation
dc.subject
Dependency bounds
dc.subject
Operational risk
dc.subject
Mass transportation duality theorem
dc.subject
Global optimization
dc.title
Aggregating risk capital, with an application to operational risk
dc.type
Journal Article
ethz.journal.title
The Geneva risk and insurance review
ethz.journal.volume
31
ethz.journal.issue
2
ethz.pages.start
71
ethz.pages.end
90
ethz.notes
Received 27 September 2005, Revised 18 July 2006.
ethz.identifier.nebis
000569681
ethz.publication.place
Basingstoke
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-08T15:28:28Z
ethz.source
ECIT
ethz.identifier.importid
imp59364b3d86e2994847
ethz.ecitpid
pub:11163
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T17:32:57Z
ethz.rosetta.lastUpdated
2022-03-28T07:14:50Z
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true
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Journal Article [120689]