GlueVaR risk measures in capital allocation applications
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DOI: 10.1016/j.insmatheco.2014.06.014
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- Jan Dhaene & Roger J. A. Laeven & Yiying Zhang, 2019. "Systemic Risk: Conditional Distortion Risk Measures," Papers 1901.04689, arXiv.org, revised Jan 2019.
- Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
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Keywords
Subadditivity; Tails; Distortion risk measure; Capital allocation; Risk aversion;All these keywords.
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