Risk capital decomposition for a multivariate dependent gamma portfolio

Insurance: Mathematics and Economics

Volumn 37, Issue 3, 2005, Pages 635-649

  Furman, Edward ^a   Landsman, Zinoviy ^a  

^a UNIVERSITY OF HAIFA   (Israel)

Author keywords

Multivariate gamma distribution; Tail conditional expectation

Indexed keywords

EID: 29144495510     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.06.006     Document Type: Article

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