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Weighted risk capital allocations

Published:2008-10 Issue:2 Volume:43 Page:263-269
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Furman Edward,Zitikis Ričardas

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference62 articles.

1. Pareto Distributions;Arnold,1983

2. Coherent measures of risk;Artzner;Mathematical Finance,1999

3. Capital market equilibrium with restricted borrowing;Black;Journal of Business,1972

4. An economic premium principle;Bühlmann;ASTIN Bulletin,1980

5. The general economic premium principle;Bühlmann;ASTIN Bulletin,1984

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