Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type
出版年份 2020 全文链接
标题
Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type
作者
关键词
Systemic risk, Size-biased distribution, Phase-type distribution, Conditional tail expectation, Economic capital allocation
出版物
INSURANCE MATHEMATICS & ECONOMICS
Volume 96, Issue -, Pages 153-167
出版商
Elsevier BV
发表日期
2020-11-20
DOI
10.1016/j.insmatheco.2020.11.007
参考文献
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