Haezendonck-Goovaerts capital allocation rules
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DOI: 10.1016/j.insmatheco.2021.07.004
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- Gómez, Fabio & Tang, Qihe & Tong, Zhiwei, 2022. "The gradient allocation principle based on the higher moment risk measure," Journal of Banking & Finance, Elsevier, vol. 143(C).
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More about this item
Keywords
Capital allocation; Haezendonck-Goovaerts risk measures; Orlicz risk premium; Quantiles; Ambiguity;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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