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  • Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
    its total risk capital is TCEXj |S (sq) = E (Xj|S > sq) , (4) where S = X1 + X2 + · · ·Xn. Certainly, ... the whole company, i.e. TCES (sq) = nX j=1 E (Xj|S > sq) . (5) In this paper we advance (4) and (5) ...

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    • Authors: Edward Furman, Zinoviy Landsman
    • Date: Sep 2008
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments