TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts

By Hélène Cossette, Mélina Mailhot, É. Marceau. 2012

46 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/26afcffa9bbe491fcb0690b63195f7d0bc414e9f

Citations in the corpus

• Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation (2013, unknown): “Other applications of the TVaR-based allocation principle are also provided in Cossette et al. (2012).”