Hu, Xiang; Zhang, Lianzeng Multivariate distributions with time and cross-dependence: aggregation and capital allocation. (English) Zbl 07540875 ASTIN Bull. 52, No. 2, 669-706 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{X. Hu} and \textit{L. Zhang}, ASTIN Bull. 52, No. 2, 669--706 (2022; Zbl 07540875) Full Text: DOI OpenURL
Mabitsela, Lesedi; Guambe, Calisto; Kufakunesu, Rodwell A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (English) Zbl 07533635 Commun. Stat., Theory Methods 51, No. 6, 1791-1810 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Mabitsela} et al., Commun. Stat., Theory Methods 51, No. 6, 1791--1810 (2022; Zbl 07533635) Full Text: DOI OpenURL
Jaunė, Eglė; Šiaulys, Jonas Asymptotic risk decomposition for regularly varying distributions with tail dependence. (English) Zbl 07531273 Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022). MSC: 91G05 62P05 60E15 PDF BibTeX XML Cite \textit{E. Jaunė} and \textit{J. Šiaulys}, Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022; Zbl 07531273) Full Text: DOI OpenURL
Delsing, G. A.; Mandjes, M. R. H.; Spreij, P. J. C.; Winands, E. M. M. On capital allocation for a risk measure derived from ruin theory. (English) Zbl 07525953 Insur. Math. Econ. 104, 76-98 (2022). MSC: 91G05 91G70 PDF BibTeX XML Cite \textit{G. A. Delsing} et al., Insur. Math. Econ. 104, 76--98 (2022; Zbl 07525953) Full Text: DOI OpenURL
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (English) Zbl 1484.91366 Insur. Math. Econ. 103, 96-118 (2022). MSC: 91G05 45K05 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Insur. Math. Econ. 103, 96--118 (2022; Zbl 1484.91366) Full Text: DOI OpenURL
Marri, Fouad; Moutanabbir, Khouzeima Risk aggregation and capital allocation using a new generalized Archimedean copula. (English) Zbl 1484.91398 Insur. Math. Econ. 102, 75-90 (2022). MSC: 91G05 91G70 62H05 PDF BibTeX XML Cite \textit{F. Marri} and \textit{K. Moutanabbir}, Insur. Math. Econ. 102, 75--90 (2022; Zbl 1484.91398) Full Text: DOI arXiv OpenURL
Araiza Iturria, Carlos Andrés; Godin, Frédéric; Mailhot, Mélina Tweedie double GLM loss triangles with dependence within and across business lines. (English) Zbl 1480.91180 Eur. Actuar. J. 11, No. 2, 619-653 (2021). MSC: 91G05 91B70 62P05 PDF BibTeX XML Cite \textit{C. A. Araiza Iturria} et al., Eur. Actuar. J. 11, No. 2, 619--653 (2021; Zbl 1480.91180) Full Text: DOI arXiv OpenURL
Sylenko, I. V. Nash equilibrium in a special case of symmetric resource extraction games. (English. Ukrainian original) Zbl 1479.91033 Cybern. Syst. Anal. 57, No. 5, 809-819 (2021); translation from Kibern. Sist. Anal. 57, No. 5, 156-167 (2021); corrections Cybern. Syst. Anal. 58, No. 1, 164 (2022). MSC: 91A15 91B32 93E20 PDF BibTeX XML Cite \textit{I. V. Sylenko}, Cybern. Syst. Anal. 57, No. 5, 809--819 (2021; Zbl 1479.91033); translation from Kibern. Sist. Anal. 57, No. 5, 156--167 (2021); corrections Cybern. Syst. Anal. 58, No. 1, 164 (2021) Full Text: DOI OpenURL
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela Haezendonck-Goovaerts capital allocation rules. (English) Zbl 1475.91288 Insur. Math. Econ. 101, 173-185 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{G. Canna} et al., Insur. Math. Econ. 101, 173--185 (2021; Zbl 1475.91288) Full Text: DOI OpenURL
Baione, Fabio; De Angelis, Paolo; Granito, Ivan Capital allocation and RORAC optimization under Solvency 2 standard formula. (English) Zbl 1476.91120 Ann. Oper. Res. 299, No. 1-2, 747-763 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{F. Baione} et al., Ann. Oper. Res. 299, No. 1--2, 747--763 (2021; Zbl 1476.91120) Full Text: DOI OpenURL
Yan, Dawen; Zhang, Xiaohui; Wang, Mingzheng A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations. (English) Zbl 1476.91206 Ann. Oper. Res. 299, No. 1-2, 659-710 (2021). MSC: 91G40 91B32 PDF BibTeX XML Cite \textit{D. Yan} et al., Ann. Oper. Res. 299, No. 1--2, 659--710 (2021; Zbl 1476.91206) Full Text: DOI OpenURL
Cai, Jun; Wang, Ying Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (English) Zbl 1471.91451 Insur. Math. Econ. 100, 329-349 (2021). MSC: 91G05 91B32 PDF BibTeX XML Cite \textit{J. Cai} and \textit{Y. Wang}, Insur. Math. Econ. 100, 329--349 (2021; Zbl 1471.91451) Full Text: DOI OpenURL
Furman, Edward; Kye, Yisub; Su, Jianxi Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type. (English) Zbl 1460.91221 Insur. Math. Econ. 96, 153-167 (2021). MSC: 91G05 91G45 PDF BibTeX XML Cite \textit{E. Furman} et al., Insur. Math. Econ. 96, 153--167 (2021; Zbl 1460.91221) Full Text: DOI OpenURL
Li, Zihao; Luo, Ji; Yao, Jing Convex bound approximations for sums of random variables under multivariate log-generalized hyperbolic distribution and asymptotic equivalences. (English) Zbl 1456.60057 J. Comput. Appl. Math. 391, Article ID 113459, 18 p. (2021). MSC: 60E15 60E05 62E15 62P05 91G40 PDF BibTeX XML Cite \textit{Z. Li} et al., J. Comput. Appl. Math. 391, Article ID 113459, 18 p. (2021; Zbl 1456.60057) Full Text: DOI OpenURL
Li, P.; Han, Y.; Lin, S.; Qiao, T. Chinese write-down bonds: issuance and bank capital structure. (English) Zbl 1471.91576 Quant. Finance 20, No. 12, 2055-2065 (2020). MSC: 91G20 91G50 PDF BibTeX XML Cite \textit{P. Li} et al., Quant. Finance 20, No. 12, 2055--2065 (2020; Zbl 1471.91576) Full Text: DOI OpenURL
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela Capital allocation rules and acceptance sets. (English) Zbl 1461.91364 Math. Financ. Econ. 14, No. 4, 759-781 (2020). MSC: 91G70 PDF BibTeX XML Cite \textit{G. Canna} et al., Math. Financ. Econ. 14, No. 4, 759--781 (2020; Zbl 1461.91364) Full Text: DOI OpenURL
Boonen, Tim J. \( \tau \)-value for risk capital allocation problems. (English) Zbl 07331200 Oper. Res. Lett. 48, No. 6, 752-757 (2020). MSC: 90-XX PDF BibTeX XML Cite \textit{T. J. Boonen}, Oper. Res. Lett. 48, No. 6, 752--757 (2020; Zbl 07331200) Full Text: DOI OpenURL
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre Ruin-based risk measures in discrete-time risk models. (English) Zbl 1447.91132 Insur. Math. Econ. 93, 246-261 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{H. Cossette} et al., Insur. Math. Econ. 93, 246--261 (2020; Zbl 1447.91132) Full Text: DOI OpenURL
Shushi, Tomer; Yao, Jing Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models. (English) Zbl 1446.91073 Insur. Math. Econ. 93, 178-186 (2020). MSC: 91G05 91G70 91G45 PDF BibTeX XML Cite \textit{T. Shushi} and \textit{J. Yao}, Insur. Math. Econ. 93, 178--186 (2020; Zbl 1446.91073) Full Text: DOI OpenURL
Wei, Linxiao; Hu, Yijun Capital allocation with multivariate risk measures: an axiomatic approach. (English) Zbl 1443.91345 Probab. Eng. Inf. Sci. 34, No. 2, 297-315 (2020). MSC: 91G70 91G10 PDF BibTeX XML Cite \textit{L. Wei} and \textit{Y. Hu}, Probab. Eng. Inf. Sci. 34, No. 2, 297--315 (2020; Zbl 1443.91345) Full Text: DOI OpenURL
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin; Schmidt, Thorsten Fair estimation of capital risk allocation. (English) Zbl 1436.62487 Stat. Risk. Model. 37, No. 1-2, 1-24 (2020). MSC: 62P05 62G05 91B05 91G40 PDF BibTeX XML Cite \textit{T. R. Bielecki} et al., Stat. Risk. Model. 37, No. 1--2, 1--24 (2020; Zbl 1436.62487) Full Text: DOI arXiv OpenURL
Brugière, Pierre Quantitative portfolio management. With applications in Python. (English) Zbl 1452.91005 Springer Texts in Business and Economics. Cham: Springer (ISBN 978-3-030-37739-7/hbk; 978-3-030-37740-3/ebook). xii, 205 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91G10 91-08 PDF BibTeX XML Cite \textit{P. Brugière}, Quantitative portfolio management. With applications in Python. Cham: Springer (2020; Zbl 1452.91005) Full Text: DOI OpenURL
Centrone, Francesca; Rosazza Gianin, Emanuela Capital allocation for set-valued risk measures. (English) Zbl 1443.91340 Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050009, 16 p. (2020). MSC: 91G70 PDF BibTeX XML Cite \textit{F. Centrone} and \textit{E. Rosazza Gianin}, Int. J. Theor. Appl. Finance 23, No. 1, Article ID 2050009, 16 p. (2020; Zbl 1443.91340) Full Text: DOI OpenURL
Boonen, Tim J.; de Waegenaere, Anja; Norde, Henk A generalization of the Aumann-Shapley value for risk capital allocation problems. (English) Zbl 1431.91425 Eur. J. Oper. Res. 282, No. 1, 277-287 (2020). MSC: 91G50 91A12 PDF BibTeX XML Cite \textit{T. J. Boonen} et al., Eur. J. Oper. Res. 282, No. 1, 277--287 (2020; Zbl 1431.91425) Full Text: DOI Link OpenURL
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex An efficient approach to quantile capital allocation and sensitivity analysis. (English) Zbl 1480.91322 Math. Finance 29, No. 4, 1131-1156 (2019). MSC: 91G70 91G45 62G08 PDF BibTeX XML Cite \textit{V. Asimit} et al., Math. Finance 29, No. 4, 1131--1156 (2019; Zbl 1480.91322) 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
Floryszczak, A.; Lévy Véhel, J.; Majri, M. A conditional equity risk model for regulatory assessment. (English) Zbl 1419.91361 ASTIN Bull. 49, No. 1, 217-242 (2019). MSC: 91B30 60H10 PDF BibTeX XML Cite \textit{A. Floryszczak} et al., ASTIN Bull. 49, No. 1, 217--242 (2019; Zbl 1419.91361) Full Text: DOI OpenURL
Xun, Li; Zhou, Yangzhi; Zhou, Yong A generalization of expected shortfall based capital allocation. (English) Zbl 1412.62139 Stat. Probab. Lett. 146, 193-199 (2019). MSC: 62P05 62G07 62G20 PDF BibTeX XML Cite \textit{L. Xun} et al., Stat. Probab. Lett. 146, 193--199 (2019; Zbl 1412.62139) Full Text: DOI OpenURL
Boonen, Tim J.; Guillen, Montserrat; Santolino, Miguel Forecasting compositional risk allocations. (English) Zbl 1419.91350 Insur. Math. Econ. 84, 79-86 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{T. J. Boonen} et al., Insur. Math. Econ. 84, 79--86 (2019; Zbl 1419.91350) Full Text: DOI Link OpenURL
Gijbels, Irène; Herrmann, Klaus Optimal expected-shortfall portfolio selection with copula-induced dependence. (English) Zbl 1418.91469 Appl. Math. Finance 25, No. 1, 66-106 (2018). MSC: 91G10 62P05 62H05 PDF BibTeX XML Cite \textit{I. Gijbels} and \textit{K. Herrmann}, Appl. Math. Finance 25, No. 1, 66--106 (2018; Zbl 1418.91469) Full Text: DOI OpenURL
Pesenti, Silvana M.; Tsanakas, Andreas; Millossovich, Pietro Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018). (English) Zbl 1417.91282 Insur. Math. Econ. 83, 29-31 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{S. M. Pesenti} et al., Insur. Math. Econ. 83, 29--31 (2018; Zbl 1417.91282) Full Text: DOI OpenURL
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; Mercuri, Lorenzo Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. (English) Zbl 1483.91183 Comput. Manag. Sci. 15, No. 3-4, 599-632 (2018). MSC: 91G05 90C15 90C39 PDF BibTeX XML Cite \textit{G. Consigli} et al., Comput. Manag. Sci. 15, No. 3--4, 599--632 (2018; Zbl 1483.91183) Full Text: DOI Link OpenURL
Li, Yuning; Zhang, Yi; Zhao, Jun Optimal capital allocation based on weighted-mean-variance principle. (Chinese. English summary) Zbl 1413.91048 Math. Appl. 31, No. 1, 12-18 (2018). MSC: 91B32 91B30 62H05 90C25 PDF BibTeX XML Cite \textit{Y. Li} et al., Math. Appl. 31, No. 1, 12--18 (2018; Zbl 1413.91048) OpenURL
Centrone, Francesca; Rosazza Gianin, Emanuela Capital allocation à la Aumann-Shapley for non-differentiable risk measures. (English) Zbl 1403.91189 Eur. J. Oper. Res. 267, No. 2, 667-675 (2018). MSC: 91B30 91G80 PDF BibTeX XML Cite \textit{F. Centrone} and \textit{E. Rosazza Gianin}, Eur. J. Oper. Res. 267, No. 2, 667--675 (2018; Zbl 1403.91189) Full Text: DOI OpenURL
Zhou, Ming; Dhaene, Jan; Yao, Jing An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (English) Zbl 1401.91218 Insur. Math. Econ. 79, 92-100 (2018). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{M. Zhou} et al., Insur. Math. Econ. 79, 92--100 (2018; Zbl 1401.91218) Full Text: DOI OpenURL
Major, John A. Distortion measures and homogeneous financial derivatives. (English) Zbl 1401.91172 Insur. Math. Econ. 79, 82-91 (2018). MSC: 91B30 91G10 91G20 PDF BibTeX XML Cite \textit{J. A. Major}, Insur. Math. Econ. 79, 82--91 (2018; Zbl 1401.91172) 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
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. (English) Zbl 1398.62289 Insur. Math. Econ. 78, 53-71 (2018). MSC: 62P05 91B30 62H05 PDF BibTeX XML Cite \textit{H. Cossette} et al., Insur. Math. Econ. 78, 53--71 (2018; Zbl 1398.62289) Full Text: DOI OpenURL
Kamiya, Shinichi; Zanjani, George Egalitarian equivalent capital allocation. (English) Zbl 1414.91206 N. Am. Actuar. J. 21, No. 3, 382-396 (2017). MSC: 91B30 91B18 91B32 PDF BibTeX XML Cite \textit{S. Kamiya} and \textit{G. Zanjani}, N. Am. Actuar. J. 21, No. 3, 382--396 (2017; Zbl 1414.91206) Full Text: DOI OpenURL
Cai, Jun; Landriault, David; Shi, Tianxiang; Wei, Wei Joint insolvency analysis of a shared MAP risk process: a capital allocation application. (English) Zbl 1414.91168 N. Am. Actuar. J. 21, No. 2, 178-192 (2017). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Cai} et al., N. Am. Actuar. J. 21, No. 2, 178--192 (2017; Zbl 1414.91168) Full Text: DOI OpenURL
Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; Pintér, Miklós Properties and comparison of risk capital allocation methods. (English) Zbl 1395.91505 Eur. J. Oper. Res. 259, No. 2, 614-625 (2017). MSC: 91G70 91A12 PDF BibTeX XML Cite \textit{D. Balog} et al., Eur. J. Oper. Res. 259, No. 2, 614--625 (2017; Zbl 1395.91505) Full Text: DOI OpenURL
Yuan, Zhongyi An asymptotic characterization of hidden tail credit risk with actuarial applications. (English) Zbl 1394.91241 Eur. Actuar. J. 7, No. 1, 165-192 (2017). MSC: 91B30 91G40 62G32 62H05 62P05 PDF BibTeX XML Cite \textit{Z. Yuan}, Eur. Actuar. J. 7, No. 1, 165--192 (2017; Zbl 1394.91241) Full Text: DOI OpenURL
Avram, Florin; Zhou, Xiaowen On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications. (English) Zbl 1382.60071 Theory Probab. Math. Stat. 95, 17-40 (2017) and Teor. Jmovirn. Mat. Stat. 95, 14-36 (2016). MSC: 60G51 60K30 60J75 PDF BibTeX XML Cite \textit{F. Avram} and \textit{X. Zhou}, Theory Probab. Math. Stat. 95, 17--40 (2017; Zbl 1382.60071) Full Text: DOI arXiv OpenURL
Gribkova, N.; Zitikis, R. Statistical foundations for assessing the difference between the classical and weighted-Gini betas. (English) Zbl 06845133 Math. Methods Stat. 26, No. 4, 267-281 (2017). MSC: 62G05 62G20 62P05 62P20 PDF BibTeX XML Cite \textit{N. Gribkova} and \textit{R. Zitikis}, Math. Methods Stat. 26, No. 4, 267--281 (2017; Zbl 06845133) Full Text: DOI arXiv OpenURL
Weber, Thomas A. Optimal switching between cash-flow streams. (English) Zbl 1386.49033 Math. Methods Oper. Res. 86, No. 3, 567-600 (2017). MSC: 49K21 91B32 91B54 PDF BibTeX XML Cite \textit{T. A. Weber}, Math. Methods Oper. Res. 86, No. 3, 567--600 (2017; Zbl 1386.49033) Full Text: DOI OpenURL
Kromer, Eduard; Overbeck, Ludger Differentiability of BSVIEs and dynamic capital allocations. (English) Zbl 1415.91266 Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750047, 26 p. (2017). MSC: 91G10 91G80 60H10 PDF BibTeX XML Cite \textit{E. Kromer} and \textit{L. Overbeck}, Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750047, 26 p. (2017; Zbl 1415.91266) Full Text: DOI OpenURL
Zou, Wei; Xie, Jie-hua Optimal capital allocation with copulas. (English) Zbl 1411.91322 Hacet. J. Math. Stat. 46, No. 3, 449-468 (2017). MSC: 91B30 62H05 62P05 PDF BibTeX XML Cite \textit{W. Zou} and \textit{J.-h. Xie}, Hacet. J. Math. Stat. 46, No. 3, 449--468 (2017; Zbl 1411.91322) Full Text: DOI OpenURL
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil Impact of dependence on some multivariate risk indicators. (English) Zbl 1369.62139 Methodol. Comput. Appl. Probab. 19, No. 2, 395-427 (2017). MSC: 62H30 62P05 91B30 PDF BibTeX XML Cite \textit{V. Maume-Deschamps} et al., Methodol. Comput. Appl. Probab. 19, No. 2, 395--427 (2017; Zbl 1369.62139) Full Text: DOI arXiv OpenURL
Cai, Jun; Wang, Ying; Mao, Tiantian Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (English) Zbl 1394.91197 Insur. Math. Econ. 75, 105-116 (2017). MSC: 91B30 62P05 91G70 PDF BibTeX XML Cite \textit{J. Cai} et al., Insur. Math. Econ. 75, 105--116 (2017; Zbl 1394.91197) Full Text: DOI OpenURL
Ratovomirija, Gildas; Tamraz, Maissa; Vernic, Raluca On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation. (English) Zbl 1394.62145 Insur. Math. Econ. 74, 197-209 (2017). MSC: 62P05 62H05 60E05 91B30 PDF BibTeX XML Cite \textit{G. Ratovomirija} et al., Insur. Math. Econ. 74, 197--209 (2017; Zbl 1394.62145) Full Text: DOI arXiv OpenURL
Vernic, Raluca Capital allocation for Sarmanov’s class of distributions. (English) Zbl 1358.60034 Methodol. Comput. Appl. Probab. 19, No. 1, 311-330 (2017). MSC: 60E05 62P05 91B30 PDF BibTeX XML Cite \textit{R. Vernic}, Methodol. Comput. Appl. Probab. 19, No. 1, 311--330 (2017; Zbl 1358.60034) Full Text: DOI OpenURL
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil Multivariate extensions of expectiles risk measures. (English) Zbl 1358.91113 Depend. Model. 5, 20-44 (2017). MSC: 91G70 62P05 62H20 PDF BibTeX XML Cite \textit{V. Maume-Deschamps} et al., Depend. Model. 5, 20--44 (2017; Zbl 1358.91113) Full Text: DOI arXiv OpenURL
Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. Capital allocation for portfolios with non-linear risk aggregation. (English) Zbl 1394.91191 Insur. Math. Econ. 72, 95-106 (2017). MSC: 91B30 91G10 91A12 PDF BibTeX XML Cite \textit{T. J. Boonen} et al., Insur. Math. Econ. 72, 95--106 (2017; Zbl 1394.91191) Full Text: DOI Link OpenURL
Rothert, Jacek On the savings wedge in international capital flows. (English) Zbl 1396.91328 Econ. Lett. 145, 126-129 (2016). MSC: 91B32 PDF BibTeX XML Cite \textit{J. Rothert}, Econ. Lett. 145, 126--129 (2016; Zbl 1396.91328) Full Text: DOI OpenURL
Côté, Marie-Pier; Genest, Christian; Abdallah, Anas Rank-based methods for modeling dependence between loss triangles. (English) Zbl 1394.91205 Eur. Actuar. J. 6, No. 2, 377-408 (2016). MSC: 91B30 62H05 62P05 PDF BibTeX XML Cite \textit{M.-P. Côté} et al., Eur. Actuar. J. 6, No. 2, 377--408 (2016; Zbl 1394.91205) Full Text: DOI OpenURL
Mizgier, Kamil J.; Pasia, Joseph M. Multiobjective optimization of credit capital allocation in financial institutions. (English) Zbl 1358.90128 CEJOR, Cent. Eur. J. Oper. Res. 24, No. 4, 801-817 (2016). MSC: 90C29 91B32 91G40 91B30 PDF BibTeX XML Cite \textit{K. J. Mizgier} and \textit{J. M. Pasia}, CEJOR, Cent. Eur. J. Oper. Res. 24, No. 4, 801--817 (2016; Zbl 1358.90128) Full Text: DOI OpenURL
Luo, Mingxu; Wang, Wensheng; Wang, Shishi Optimal capital allocation based on the weighted tail-mean-variance principle. (Chinese. English summary) Zbl 1363.91092 J. Hangzhou Norm. Univ., Nat. Sci. 15, No. 3, 312-315 (2016). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{M. Luo} et al., J. Hangzhou Norm. Univ., Nat. Sci. 15, No. 3, 312--315 (2016; Zbl 1363.91092) Full Text: DOI OpenURL
Asimit, Alexandru V.; Li, Jinzhu Extremes for coherent risk measures. (English) Zbl 1371.91075 Insur. Math. Econ. 71, 332-341 (2016). MSC: 91B30 62P05 60G70 62G32 PDF BibTeX XML Cite \textit{A. V. Asimit} and \textit{J. Li}, Insur. Math. Econ. 71, 332--341 (2016; Zbl 1371.91075) Full Text: DOI Link OpenURL
Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Ričardas Background risk models and stepwise portfolio construction. (English) Zbl 1349.62517 Methodol. Comput. Appl. Probab. 18, No. 3, 805-827 (2016). MSC: 62P05 91B30 91G10 44A10 PDF BibTeX XML Cite \textit{A. V. Asimit} et al., Methodol. Comput. Appl. Probab. 18, No. 3, 805--827 (2016; Zbl 1349.62517) Full Text: DOI Link OpenURL
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed Vector-valued tail value-at-risk and capital allocation. (English) Zbl 1349.91319 Methodol. Comput. Appl. Probab. 18, No. 3, 653-674 (2016). MSC: 91G70 62P05 91B30 PDF BibTeX XML Cite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 18, No. 3, 653--674 (2016; Zbl 1349.91319) Full Text: DOI OpenURL
Maume-Deschamps, V.; Rullière, D.; Said, K. On a capital allocation by minimization of some risk indicators. (English) Zbl 1415.91157 Eur. Actuar. J. 6, No. 1, 177-196 (2016). MSC: 91B30 62P05 62H05 PDF BibTeX XML Cite \textit{V. Maume-Deschamps} et al., Eur. Actuar. J. 6, No. 1, 177--196 (2016; Zbl 1415.91157) Full Text: DOI HAL OpenURL
Ratovomirija, Gildas On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. (English) Zbl 1415.91162 Eur. Actuar. J. 6, No. 1, 149-175 (2016). MSC: 91B30 62P05 62E15 PDF BibTeX XML Cite \textit{G. Ratovomirija}, Eur. Actuar. J. 6, No. 1, 149--175 (2016; Zbl 1415.91162) Full Text: DOI arXiv OpenURL
Hougaard, Jens Leth; Smilgins, Aleksandrs Risk capital allocation with autonomous subunits: the Lorenz set. (English) Zbl 1348.91148 Insur. Math. Econ. 67, 151-157 (2016). MSC: 91B30 91A12 91B32 91G10 PDF BibTeX XML Cite \textit{J. L. Hougaard} and \textit{A. Smilgins}, Insur. Math. Econ. 67, 151--157 (2016; Zbl 1348.91148) Full Text: DOI OpenURL
Vernic, Raluca On the distribution of a sum of Sarmanov distributed random variables. (English) Zbl 1336.60024 J. Theor. Probab. 29, No. 1, 118-142 (2016). MSC: 60E05 62E15 60-08 91B30 PDF BibTeX XML Cite \textit{R. Vernic}, J. Theor. Probab. 29, No. 1, 118--142 (2016; Zbl 1336.60024) Full Text: DOI OpenURL
Yong, Luo; Bo, Zhu; Yong, Tang Dynamic optimal capital growth of diversified investment. (English) Zbl 07269570 J. Appl. Stat. 42, No. 3, 577-588 (2015). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Yong} et al., J. Appl. Stat. 42, No. 3, 577--588 (2015; Zbl 07269570) Full Text: DOI Link OpenURL
Hoang, Daniel; Ruckes, Martin Informed headquarters and socialistic internal capital markets. (English) Zbl 1417.91568 Rev. Finance 19, No. 3, 1105-1141 (2015). MSC: 91G99 91B32 PDF BibTeX XML Cite \textit{D. Hoang} and \textit{M. Ruckes}, Rev. Finance 19, No. 3, 1105--1141 (2015; Zbl 1417.91568) Full Text: DOI Link OpenURL
Hashorva, Enkelejd; Ratovomirija, Gildas On Sarmanov mixed Erlang risks in insurance applications. (English) Zbl 1390.62208 ASTIN Bull. 45, No. 1, 175-205 (2015). MSC: 62P05 62H05 91B30 PDF BibTeX XML Cite \textit{E. Hashorva} and \textit{G. Ratovomirija}, ASTIN Bull. 45, No. 1, 175--205 (2015; Zbl 1390.62208) Full Text: DOI Link OpenURL
Willmot, Gordon E.; Woo, Jae-Kyung On some properties of a class of multivariate Erlang mixtures with insurance applications. (English) Zbl 1390.62092 ASTIN Bull. 45, No. 1, 151-173 (2015). MSC: 62H05 62E15 62P05 91B30 PDF BibTeX XML Cite \textit{G. E. Willmot} and \textit{J.-K. Woo}, ASTIN Bull. 45, No. 1, 151--173 (2015; Zbl 1390.62092) Full Text: DOI Link OpenURL
Grechuk, Bogdan The center of a convex set and capital allocation. (English) Zbl 1346.91206 Eur. J. Oper. Res. 243, No. 2, 628-636 (2015). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{B. Grechuk}, Eur. J. Oper. Res. 243, No. 2, 628--636 (2015; Zbl 1346.91206) Full Text: DOI Link OpenURL
Xun, Li; Dong, Nana; Wang, Dehui Capital allocation based on Haezendonck-Goovaerts risk measure. (Chinese. English summary) Zbl 1349.91162 J. Jilin Univ., Sci. 53, No. 4, 634-640 (2015). MSC: 91B30 91G10 91G70 PDF BibTeX XML Cite \textit{L. Xun} et al., J. Jilin Univ., Sci. 53, No. 4, 634--640 (2015; Zbl 1349.91162) Full Text: DOI OpenURL
Wei, Linxiao; Ma, Yue; Hu, Yijun Risk measures with comonotonic subadditivity or convexity on product spaces. (English) Zbl 1349.91159 Appl. Math., Ser. B (Engl. Ed.) 30, No. 4, 407-417 (2015). MSC: 91B30 91G10 28E10 PDF BibTeX XML Cite \textit{L. Wei} et al., Appl. Math., Ser. B (Engl. Ed.) 30, No. 4, 407--417 (2015; Zbl 1349.91159) Full Text: DOI OpenURL
Dimitrova, Dimitrina S.; Kaishev, Vladimir K.; Zhao, Shouqi On finite-time ruin probabilities in a generalized dual risk model with dependence. (English) Zbl 1341.91090 Eur. J. Oper. Res. 242, No. 1, 134-148 (2015). MSC: 91B30 60K10 PDF BibTeX XML Cite \textit{D. S. Dimitrova} et al., Eur. J. Oper. Res. 242, No. 1, 134--148 (2015; Zbl 1341.91090) Full Text: DOI Link OpenURL
Li, Xiaohu; Wu, Jintang; Zhuang, Jinsen Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims. (English) Zbl 1319.91097 Methodol. Comput. Appl. Probab. 17, No. 2, 463-477 (2015). MSC: 91B30 62E20 62P05 60F10 PDF BibTeX XML Cite \textit{X. Li} et al., Methodol. Comput. Appl. Probab. 17, No. 2, 463--477 (2015; Zbl 1319.91097) Full Text: DOI OpenURL
Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models. (English) Zbl 1314.91241 Insur. Math. Econ. 61, 206-226 (2015). MSC: 91G60 91B30 65C05 65C40 62P05 PDF BibTeX XML Cite \textit{R. S. Targino} et al., Insur. Math. Econ. 61, 206--226 (2015; Zbl 1314.91241) Full Text: DOI arXiv OpenURL
Côté, Marie-Pier; Genest, Christian A copula-based risk aggregation model. (English. French summary) Zbl 1310.62075 Can. J. Stat. 43, No. 1, 60-81 (2015). MSC: 62H30 62H20 62P05 91B30 PDF BibTeX XML Cite \textit{M.-P. Côté} and \textit{C. Genest}, Can. J. Stat. 43, No. 1, 60--81 (2015; Zbl 1310.62075) Full Text: DOI OpenURL
dos Santos, Paulo L. A note on credit allocation, income distribution and the Circuit of Capital. (English) Zbl 1420.91153 Metroeconomica 65, No. 2, 212-236 (2014). MSC: 91B32 91B40 PDF BibTeX XML Cite \textit{P. L. dos Santos}, Metroeconomica 65, No. 2, 212--236 (2014; Zbl 1420.91153) Full Text: DOI Link OpenURL
Pirra, Marco; Forte, Salvatore; Ialenti, Matteo Risk management and capital allocation for non-life insurance companies. (English) Zbl 1418.91256 Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 253-264 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{M. Pirra} et al., in: Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10--12, 2012. Cham: Springer. 253--264 (2014; Zbl 1418.91256) Full Text: DOI OpenURL
Lee, Yongwoong; Poon, Ser-Huang Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors. (English) Zbl 1402.91851 J. Econ. Dyn. Control 41, 69-92 (2014). MSC: 91G40 91G10 PDF BibTeX XML Cite \textit{Y. Lee} and \textit{S.-H. Poon}, J. Econ. Dyn. Control 41, 69--92 (2014; Zbl 1402.91851) Full Text: DOI OpenURL
Luo, Yong; Zhu, Bo; Tang, Yong Simulated annealing algorithm for optimal capital growth. (English) Zbl 1402.91377 Physica A 408, 10-18 (2014). MSC: 91B62 90C59 PDF BibTeX XML Cite \textit{Y. Luo} et al., Physica A 408, 10--18 (2014; Zbl 1402.91377) Full Text: DOI Link OpenURL
Donnelly, Catherine Quantifying mortality risk in small defined-benefit pension schemes. (English) Zbl 1401.91132 Scand. Actuar. J. 2014, No. 1, 41-57 (2014). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{C. Donnelly}, Scand. Actuar. J. 2014, No. 1, 41--57 (2014; Zbl 1401.91132) Full Text: DOI arXiv OpenURL
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, Miguel GlueVaR risk measures in capital allocation applications. (English) Zbl 1304.91092 Insur. Math. Econ. 58, 132-137 (2014). MSC: 91G70 91B30 PDF BibTeX XML Cite \textit{J. Belles-Sampera} et al., Insur. Math. Econ. 58, 132--137 (2014; Zbl 1304.91092) Full Text: DOI Link OpenURL
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew J. G. Factor risk quantification in annuity models. (English) Zbl 1304.91116 Insur. Math. Econ. 58, 34-45 (2014). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{U. Karabey} et al., Insur. Math. Econ. 58, 34--45 (2014; Zbl 1304.91116) Full Text: DOI OpenURL
Zaks, Yaniv; Tsanakas, Andreas Optimal capital allocation in a hierarchical corporate structure. (English) Zbl 1304.91239 Insur. Math. Econ. 56, 48-55 (2014). MSC: 91G50 PDF BibTeX XML Cite \textit{Y. Zaks} and \textit{A. Tsanakas}, Insur. Math. Econ. 56, 48--55 (2014; Zbl 1304.91239) Full Text: DOI Link OpenURL
Wang, Min Capital allocation based on the tail covariance premium adjusted. (English) Zbl 1304.91135 Insur. Math. Econ. 57, 125-131 (2014). MSC: 91B30 91G50 PDF BibTeX XML Cite \textit{M. Wang}, Insur. Math. Econ. 57, 125--131 (2014; Zbl 1304.91135) Full Text: DOI OpenURL
Tang, Qihe; Yuan, Zhongyi Randomly weighted sums of subexponential random variables with application to capital allocation. (English) Zbl 1328.62089 Extremes 17, No. 3, 467-493 (2014). MSC: 62E20 60G70 91G50 PDF BibTeX XML Cite \textit{Q. Tang} and \textit{Z. Yuan}, Extremes 17, No. 3, 467--493 (2014; Zbl 1328.62089) Full Text: DOI OpenURL
Dorfleitner, Gregor; Pfister, Tamara Justification of per-unit risk capital allocation in portfolio credit risk models. (English) Zbl 1298.91134 Int. J. Theor. Appl. Finance 17, No. 6, Article ID 1450039, 29 p. (2014). MSC: 91G10 91G40 PDF BibTeX XML Cite \textit{G. Dorfleitner} and \textit{T. Pfister}, Int. J. Theor. Appl. Finance 17, No. 6, Article ID 1450039, 29 p. (2014; Zbl 1298.91134) Full Text: DOI OpenURL
Kromer, Eduard; Overbeck, Ludger Representation of BSDE-based dynamic risk measures and dynamic capital allocations. (English) Zbl 1309.91150 Int. J. Theor. Appl. Finance 17, No. 5, Article ID 1450032, 16 p. (2014). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G80 91B32 91B30 60H10 91G10 PDF BibTeX XML Cite \textit{E. Kromer} and \textit{L. Overbeck}, Int. J. Theor. Appl. Finance 17, No. 5, Article ID 1450032, 16 p. (2014; Zbl 1309.91150) Full Text: DOI OpenURL
Cai, Jun; Wei, Wei Some new notions of dependence with applications in optimal allocation problems. (English) Zbl 1296.91246 Insur. Math. Econ. 55, 200-209 (2014). MSC: 91G10 91B30 60E15 PDF BibTeX XML Cite \textit{J. Cai} and \textit{W. Wei}, Insur. Math. Econ. 55, 200--209 (2014; Zbl 1296.91246) Full Text: DOI OpenURL
Kriele, Marcus; Wolf, Jochen [Ion, Patrick D. F.] Value-oriented risk management of insurance companies. Translated from the German by Patrick D. F. Ion. (English) Zbl 1298.91009 EAA Series. London: Springer (ISBN 978-1-4471-6304-6/pbk; 978-1-4471-6305-3/ebook). xii, 378 p. (2014). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91-01 91B30 62P05 PDF BibTeX XML Cite \textit{M. Kriele} and \textit{J. Wolf}, Value-oriented risk management of insurance companies. Translated from the German by Patrick D. F. Ion. London: Springer (2014; Zbl 1298.91009) Full Text: DOI OpenURL
Gourinchas, Pierre-Olivier; Jeanne, Olivier Capital flows to developing countries: the allocation puzzle. (English) Zbl 1405.91410 Rev. Econ. Stud. 80, No. 4, 1484-1515 (2013). MSC: 91B62 91B32 PDF BibTeX XML Cite \textit{P.-O. Gourinchas} and \textit{O. Jeanne}, Rev. Econ. Stud. 80, No. 4, 1484--1515 (2013; Zbl 1405.91410) 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
Xu, Maochao; Mao, Tiantian Optimal capital allocation based on the tail mean-variance model. (English) Zbl 1290.91152 Insur. Math. Econ. 53, No. 3, 533-543 (2013). MSC: 91G10 91B30 62P05 62G30 60G70 PDF BibTeX XML Cite \textit{M. Xu} and \textit{T. Mao}, Insur. Math. Econ. 53, No. 3, 533--543 (2013; Zbl 1290.91152) Full Text: DOI OpenURL
Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation. (English) Zbl 1284.60027 Insur. Math. Econ. 52, No. 3, 560-572 (2013). MSC: 60E05 62H05 62E15 91B30 91G10 PDF BibTeX XML Cite \textit{H. Cossette} et al., Insur. Math. Econ. 52, No. 3, 560--572 (2013; Zbl 1284.60027) Full Text: DOI OpenURL
Keykhaei, Reza; Jahandideh, Mohamad-Taghi Producing the tangency portfolio as a corner portfolio. (English) Zbl 1282.91304 RAIRO, Oper. Res. 47, No. 3, 311-320 (2013). MSC: 91G10 90C20 90C29 PDF BibTeX XML Cite \textit{R. Keykhaei} and \textit{M.-T. Jahandideh}, RAIRO, Oper. Res. 47, No. 3, 311--320 (2013; Zbl 1282.91304) Full Text: DOI Numdam OpenURL
Cheung, Wing The augmented Black-Litterman model: a ranking-free approach to factor-based portfolio construction and beyond. (English) Zbl 1280.91146 Quant. Finance 13, No. 2, 301-316 (2013). MSC: 91G10 PDF BibTeX XML Cite \textit{W. Cheung}, Quant. Finance 13, No. 2, 301--316 (2013; Zbl 1280.91146) 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
Marceau, Étienne Modelling and evaluation of risks in insurance. Models on one period. (Modélisation et évaluation quantitative des risques en actuariat. Modèles sur une période.) (French) Zbl 1264.91002 Statistique et Probabilités Appliquées. Paris: Springer (ISBN 978-2-8178-0111-7/pbk). xx, 471 p. (2013). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91-01 91B30 PDF BibTeX XML Cite \textit{É. Marceau}, Modélisation et évaluation quantitative des risques en actuariat. Modèles sur une période. Paris: Springer (2013; Zbl 1264.91002) OpenURL
Kamdem, Jules Sadefo VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors. (English) Zbl 1298.91140 Ann. Finance 8, No. 1, 123-150 (2012). MSC: 91G10 91G40 91G70 PDF BibTeX XML Cite \textit{J. S. Kamdem}, Ann. Finance 8, No. 1, 123--150 (2012; Zbl 1298.91140) Full Text: DOI arXiv OpenURL
Das, S.; Kratz, M. Alarm system for insurance companies: a strategy for capital allocation. (English) Zbl 1284.91223 Insur. Math. Econ. 51, No. 1, 53-65 (2012). MSC: 91B30 60K30 PDF BibTeX XML Cite \textit{S. Das} and \textit{M. Kratz}, Insur. Math. Econ. 51, No. 1, 53--65 (2012; Zbl 1284.91223) Full Text: DOI arXiv Link OpenURL