An optimization approach to the dynamic allocation of economic capital

Insurance: Mathematics and Economics

Volumn 35, Issue 2 SPEC. ISS., 2004, Pages 299-319

  Laeven, Roger J A ^a,b   Goovaerts, Marc J ^a,c  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b Mercer Oliver Wyman   (Netherlands)

^c UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

Capital allocation; Comonotonicity; Risk measurement; Stochastic dependence; Value at Risk

Indexed keywords

EID: 4644277935     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.04.002     Document Type: Article

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