Weighted Risk Capital Allocations

By Edward Furman, Ricardas Zitikis. 2008

146 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/abffa87d9b83a416948fb329decc565d759cfc16

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Jianxi Su
2. Edward Furman
3. Ricardas Zitikis
4. Michel Denuit

In Management Science and Operations Research

1. Edward Furman
2. Jianxi Su
3. Ricardas Zitikis
4. Michel Denuit

Citations in the corpus

• Weighted Pricing Functionals With Applications to Insurance (2009, background): “This idea surfaced in Furman and Zitikis (2008b) and was subsequently elaborated on by Furman and Zitikis (2009).”
• Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation (2011, unknown): “It belongs to both the distorted and weighted risk measures (see Wang, 1996; Dhaene et al., 2006; Furman and Zitikis, 2008a).”
• Prospect Theory, Indifference Curves, and Hedging Risks (2010, unknown): “its extension beyond the Gaussian framework; we refer to Furman and Zitikis [7–9] for related details and references.”
• On a Multivariate Pareto Distribution (2010, unknown): “Furman and Zitikis (2008b) introduced and studied the economic weighted pricing func-”
• A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT (2016, background): “(Furman and Zitikis (2008a), see also Choo and de Jong (2009, 2010.)”