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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
conditional expectation can be expressed TCES (sq) (17) = η γ0 α0 FS+ηZ0 (sq) FS (sq) + eγeαmax F S+Zmax ... pression for tail conditional expectation risk measure (17) from the formula for TCE based allocation (20), ...- 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
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Sequential Credibility Evaluation via Stochastic Approximation
at stage n is of the form an = Alk_~ + AV(X) (17) and a corresponding risk sequence is of the form ... distribution we have P~-i ~- io "2 which conforms with (17). We now offer a modification for the risk and gain ...- Authors: Udi E Makov, Zinoviy Landsman
- Date: Jan 1999
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods>Stochastic models