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Quantitative Finance Volume 9, 2009 - Issue 8
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Research Papers

An axiomatic characterization of capital allocations of coherent risk measures

Michael Kalkbrener Deutsche Bank AG, Risk Analytics and Instruments, Theodor-Heuss-Allee 70, D-60486, Frankfurt, GermanyCorrespondence[email protected]
Pages 961-965 | Received 01 Sep 2007, Accepted 06 Feb 2009, Published online: 23 Jul 2009

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Linhai Wei & Yijun Hu. (2023) Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity. Communications in Statistics - Theory and Methods 52:18, pages 6684-6694.
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Articles from other publishers (8)

Stephen J. Mildenhall & John A. Major. 2022. Pricing Insurance Risk. Pricing Insurance Risk 507 522 .
Linxiao Wei & Yijun Hu. (2019) CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH. Probability in the Engineering and Informational Sciences 34:2, pages 297-315.
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EDUARD KROMER & LUDGER OVERBECK. (2017) DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS. International Journal of Theoretical and Applied Finance 20:07, pages 1750047.
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Hirbod Assa, Manuel Morales & Hassan Omidi Firouzi. (2016) On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory. Risks 4:3, pages 30.
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V. Maume-Deschamps, D. Rullière & K. Said. (2016) On a capital allocation by minimization of some risk indicators. European Actuarial Journal 6:1, pages 177-196.
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Gabriele Canna. (2021) Capital allocation and stochastic orders. SSRN Electronic Journal.
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Gabriele Canna. (2021) Intrinsic Capital Allocation Rules. SSRN Electronic Journal.
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Eduard Kromer & Ludger Overbeck. (2014) Classical Differentiability of BSVIEs and Dynamic Capital Allocations. SSRN Electronic Journal.
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