We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principles for multivariate set-valued coherent and convex risk measures. We compare these rules with some of those mostly used for univariate (single-valued) risk measures
An axiomatic definition of coherent capital allocations is given. It is shown that coher-ent capital...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdl...
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principl...
We study capital allocation rules satisfying suitable properties for convex and quasi-convex risk me...
In this paper we make a short survey on the problem of Capital Allocation through the use of risk m...
This paper introduces a newapproach to face capital allocation problems from the perspective of acc...
This paper makes the point on a well known property of capital allocation rules, namely the one ca...
In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but...
In the context of capital allocation principles for (not necessarily coherent) risk measures, we de...
Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex...
Abstract: This paper analyzes risk capital allocation problems. For risk capital allocation problems...
Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex...
The issue of capital allocation in a multivariate context arises from the presence of dependence bet...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
An axiomatic definition of coherent capital allocations is given. It is shown that coher-ent capital...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdl...
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principl...
We study capital allocation rules satisfying suitable properties for convex and quasi-convex risk me...
In this paper we make a short survey on the problem of Capital Allocation through the use of risk m...
This paper introduces a newapproach to face capital allocation problems from the perspective of acc...
This paper makes the point on a well known property of capital allocation rules, namely the one ca...
In this paper, we study capital allocation for dynamic risk measures, with an axiomatic approach but...
In the context of capital allocation principles for (not necessarily coherent) risk measures, we de...
Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex...
Abstract: This paper analyzes risk capital allocation problems. For risk capital allocation problems...
Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex...
The issue of capital allocation in a multivariate context arises from the presence of dependence bet...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
An axiomatic definition of coherent capital allocations is given. It is shown that coher-ent capital...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdl...
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