Economic capital allocations for non-negative portfolios of dependent risks

ASTIN Bulletin

Volumn 38, Issue 2, 2008, Pages 601-619

  Furman, Edward ^a   Landsman, Zinoviy ^b  

^a YORK UNIVERSITY   (Canada)

^b UNIVERSITY OF HAIFA   (Israel)

Author keywords

Economic capital allocations; Multivariate compound poisson distributions; Multivariate non negative dependent risks; Multivariate Tweedie distributions; Tail conditional expectation risk measure

Indexed keywords

EID: 58049209280     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.38.2.2033355     Document Type: Article

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