Mohammed, Nawaf; Furman, Edward; Su, Jianxi Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (English) Zbl 1475.91313 Insur. Math. Econ. 101, 425-436 (2021). MSC: 91G05 91B32 91G70 PDF BibTeX XML Cite \textit{N. Mohammed} et al., Insur. Math. Econ. 101, 425--436 (2021; Zbl 1475.91313) Full Text: DOI arXiv OpenURL
Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; Smirnow, Alexander Optimal risk-sharing across a network of insurance companies. (English) Zbl 1452.91269 Insur. Math. Econ. 95, 39-47 (2020). MSC: 91G05 91G45 PDF BibTeX XML Cite \textit{N. Ettlin} et al., Insur. Math. Econ. 95, 39--47 (2020; Zbl 1452.91269) Full Text: DOI Link OpenURL
Furman, Edward; Hackmann, Daniel; Kuznetsov, Alexey On log-normal convolutions: an analytical-numerical method with applications to economic capital determination. (English) Zbl 1431.91327 Insur. Math. Econ. 90, 120-134 (2020). MSC: 91G05 62P05 PDF BibTeX XML Cite \textit{E. Furman} et al., Insur. Math. Econ. 90, 120--134 (2020; Zbl 1431.91327) Full Text: DOI OpenURL
Bauer, Daniel; Kamiya, Shinichi; Ping, Xiaohu; Zanjani, George Dynamic capital allocation with irreversible investments. (English) Zbl 1419.91577 Insur. Math. Econ. 85, 138-152 (2019). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{D. Bauer} et al., Insur. Math. Econ. 85, 138--152 (2019; Zbl 1419.91577) Full Text: DOI OpenURL
Furman, Edward; Kuznetsov, Alexey; Zitikis, Ričardas Weighted risk capital allocations in the presence of systematic risk. (English) Zbl 1401.91139 Insur. Math. Econ. 79, 75-81 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{E. Furman} et al., Insur. Math. Econ. 79, 75--81 (2018; Zbl 1401.91139) Full Text: DOI OpenURL
Hong, Liang Some remarks on capital allocation by percentile layer. (English) Zbl 1304.91112 Eur. Actuar. J. 3, No. 2, 439-452 (2013). MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{L. Hong}, Eur. Actuar. J. 3, No. 2, 439--452 (2013; Zbl 1304.91112) Full Text: DOI OpenURL
Mierzejewski, Fernando Raising and allocation capital principles as optimal managerial contracts. (English) Zbl 1287.91148 Scand. Actuar. J. 2013, No. 1, 24-48 (2013). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G50 91B30 91G20 PDF BibTeX XML Cite \textit{F. Mierzejewski}, Scand. Actuar. J. 2013, No. 1, 24--48 (2013; Zbl 1287.91148) Full Text: DOI OpenURL
Zaks, Yaniv The optimal asset and liability portfolio for a financial institution with multiple lines of businesses. (English) Zbl 1288.91182 Eur. Actuar. J. 3, No. 1, 69-95 (2013). MSC: 91G10 91B30 91G50 PDF BibTeX XML Cite \textit{Y. Zaks}, Eur. Actuar. J. 3, No. 1, 69--95 (2013; Zbl 1288.91182) Full Text: DOI OpenURL
van Gulick, Gerwald; De Waegenaere, Anja; Norde, Henk Excess based allocation of risk capital. (English) Zbl 1238.91141 Insur. Math. Econ. 50, No. 1, 26-42 (2012). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G50 91G10 90C05 PDF BibTeX XML Cite \textit{G. van Gulick} et al., Insur. Math. Econ. 50, No. 1, 26--42 (2012; Zbl 1238.91141) Full Text: DOI Link OpenURL
Furman, Edward; Zitikis, Ričardas Weighted pricing functionals with applications to insurance. (English) Zbl 1483.91194 N. Am. Actuar. J. 13, No. 4, 483-496 (2009). MSC: 91G05 PDF BibTeX XML Cite \textit{E. Furman} and \textit{R. Zitikis}, N. Am. Actuar. J. 13, No. 4, 483--496 (2009; Zbl 1483.91194) Full Text: DOI OpenURL
Kim, Joseph H. T.; Hardy, Mary R. A capital allocation based on a solvency exchange option. (English) Zbl 1162.91380 Insur. Math. Econ. 44, No. 3, 357-366 (2009). MSC: 91B28 PDF BibTeX XML Cite \textit{J. H. T. Kim} and \textit{M. R. Hardy}, Insur. Math. Econ. 44, No. 3, 357--366 (2009; Zbl 1162.91380) Full Text: DOI OpenURL
Furman, Edward; Zitikis, Ričardas Weighted risk capital allocations. (English) Zbl 1189.62163 Insur. Math. Econ. 43, No. 2, 263-269 (2008). MSC: 62P05 65C60 91B30 PDF BibTeX XML Cite \textit{E. Furman} and \textit{R. Zitikis}, Insur. Math. Econ. 43, No. 2, 263--269 (2008; Zbl 1189.62163) Full Text: DOI OpenURL
Powers, Michael R. Using Aumann-Shapley values to allocate insurance risk: the case of inhomogeneous losses. (English) Zbl 1480.91236 N. Am. Actuar. J. 11, No. 3, 113-127 (2007). MSC: 91G05 91A12 91A80 PDF BibTeX XML Cite \textit{M. R. Powers}, N. Am. Actuar. J. 11, No. 3, 113--127 (2007; Zbl 1480.91236) Full Text: DOI OpenURL
Sherris, Michael; van der Hoek, John Capital allocation in insurance: economic capital and the allocation of the default option value. (English) Zbl 1479.91341 N. Am. Actuar. J. 10, No. 2, 39-61 (2006). MSC: 91G05 PDF BibTeX XML Cite \textit{M. Sherris} and \textit{J. van der Hoek}, N. Am. Actuar. J. 10, No. 2, 39--61 (2006; Zbl 1479.91341) Full Text: DOI OpenURL
Schirmacher, Ernesto; Feldblum, Sholom Financial pricing models for property-casualty insurance products. (English) Zbl 1479.91340 N. Am. Actuar. J. 10, No. 2, 1-27 (2006). MSC: 91G05 PDF BibTeX XML Cite \textit{E. Schirmacher} and \textit{S. Feldblum}, N. Am. Actuar. J. 10, No. 2, 1--27 (2006; Zbl 1479.91340) Full Text: DOI OpenURL