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  • Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
    Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio Recently, there has been growing interest among insurance and investment experts to focus on the use of a tail conditional ...

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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