Some results on the CTE-based capital allocation rule
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Landsman, Zinoviy & Tsanakas, Andreas, 2006. "Stochastic ordering of bivariate elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 76(5), pages 488-494, March.
- Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
- Zinoviy Landsman & Emiliano Valdez, 2003. "Tail Conditional Expectations for Elliptical Distributions," North American Actuarial Journal, Taylor & Francis Journals, vol. 7(4), pages 55-71.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
- Anderson, Dale N., 1992. "A multivariate Linnik distribution," Statistics & Probability Letters, Elsevier, vol. 14(4), pages 333-336, July.
- Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012.
"Optimal Capital Allocation Principles,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(1), pages 1-28, March.
- Dhaene, Jan & Tsanakas, Andreas & Emiliano, Valdez & Steven, Vanduffel, 2009. "Optimal capital allocation principles," MPRA Paper 13574, University Library of Munich, Germany.
- Furman, Edward & Landsman, Zinoviy, 2005. "Risk capital decomposition for a multivariate dependent gamma portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 635-649, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Landsman, Zinoviy & Pat, Nika & Dhaene, Jan, 2013. "Tail Variance premiums for log-elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 441-447.
- Zhou, Ming & Dhaene, Jan & Yao, Jing, 2018. "An approximation method for risk aggregations and capital allocation rules based on additive risk factor models," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 92-100.
- Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
- Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
- Bahareh Afhami & Mohsen Rezapour & Mohsen Madadi & Vahed Maroufy, 2021. "Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk," Papers 2104.11594, arXiv.org.
- Brückner, Karsten, 2008. "Quantifying the error of convex order bounds for truncated first moments," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 261-270, February.
- Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
- Van Weert, Koen & Dhaene, Jan & Goovaerts, Marc, 2010. "Optimal portfolio selection for general provisioning and terminal wealth problems," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 90-97, August.
- Annaert, Jan & Deelstra, Griselda & Heyman, Dries & Vanmaele, Michèle, 2007.
"Risk management of a bond portfolio using options,"
Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 299-316, November.
- J. Annaert & G. Deelstra & D. Heyman & M. Vanmaele, 2007. "Risk management of a bond portfolio using options," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/465, Ghent University, Faculty of Economics and Business Administration.
- Antonella Campana & Paola Ferretti, 2005. "Distortion Risk Measures and Discrete Risks," Game Theory and Information 0510013, University Library of Munich, Germany.
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015.
"Comonotonic Monte Carlo and its applications in option pricing and quantification of risk,"
Documents de travail du Centre d'Economie de la Sorbonne
15015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159741, HAL.
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Documents de travail du Centre d'Economie de la Sorbonne 15015r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jun 2015.
- Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2015. "Comonotonic Monte Carlo and its applications in option pricing and quantification of risk," Post-Print hal-01159741, HAL.
- Hürlimann, Werner, 2010. "Analytical Pricing of the Unit-Linked Endowment with Guarantees and Periodic Premiums," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 631-653, November.
- Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Copulas and related properties," Papers 1610.02126, arXiv.org.
- Karel in 't Hout & Jacob Snoeijer, 2021. "Numerical valuation of American basket options via partial differential complementarity problems," Papers 2106.01200, arXiv.org.
- Deelstra, G. & Liinev, J. & Vanmaele, M., 2004. "Pricing of arithmetic basket options by conditioning," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 55-77, February.
- Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom, 2005. "Some asymptotic results for sums of dependent random variables, with actuarial applications," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 154-172, October.
- Cheung, Ka Chun, 2009. "Applications of conditional comonotonicity to some optimization problems," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 89-93, August.
- Hu, Taizhong & Chen, Ouxiang, 2020. "On a family of coherent measures of variability," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 173-182.
- Robert, Christian Y., 2013. "Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 216-229.
- Mesfioui, Mhamed & Denuit, Michel M., 2015. "Comonotonicity, orthant convex order and sums of random variables," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 356-364.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:42:y:2008:i:2:p:855-863. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.