Economic Capital Allocation Derived from Risk Measures

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Cite
Dhaene, Jan, et al. “Economic Capital Allocation Derived from Risk Measures”. North American Actuarial Journal, vol. 7, no. 2, 2003, pp. 44-56, https://doi.org/10.1080/10920277.2003.10596084.
Dhaene, J., Goovaerts, M. J., & Kaas, R. (2003). Economic Capital Allocation Derived from Risk Measures. North American Actuarial Journal, 7(2), 44-56. https://doi.org/10.1080/10920277.2003.10596084
Dhaene, Jan, Mark J. Goovaerts, and Rob Kaas. “Economic Capital Allocation Derived from Risk Measures”. North American Actuarial Journal 7, no. 2 (2003): 44-56. https://doi.org/10.1080/10920277.2003.10596084.
Dhaene J, Goovaerts MJ, Kaas R. Economic Capital Allocation Derived from Risk Measures. North American Actuarial Journal. 2003;7(2):44-56.
Journal Category
Social Sciences
Finance
Refrences
Title Journal Journal Categories Citations Publication Date
10.1016/S0167-6687(02)00135-X Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2002
“Application of Coherent Risk Measures to Capital Requirements in Insurance,” Philippe Artzner, April 1999 North American Actuarial Journal
  • Social Sciences: Finance
 5 2000
Application of Coherent Risk Measures to Capital Requirements in Insurance North American Actuarial Journal
  • Social Sciences: Finance
 112 1999
Coherent Measures of Risk

 Mathematical Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 4,880 1999
10.2143/AST.26.1.563234 ASTIN Bulletin
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 1996
Refrences Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science14
Social Sciences: Commerce: Business7
Social Sciences: Statistics5
Science: Mathematics5
Science: Mathematics: Probabilities. Mathematical statistics4
Social Sciences: Finance3
The category Social Sciences: Economic theory. Demography: Economics as a science 14 is the most frequently represented among the references in this article. It primarily includes studies from North American Actuarial Journal and ASTIN Bulletin. The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
Title Journal Journal Categories Citations Publication Date
Random distortion risk measures Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Securitization and Financial Sustainability of the HECM Program SSRN Electronic Journal 2023
Haircut Capital Allocation as the Solution of a Quadratic Optimisation Problem

 Mathematics
  • Science: Mathematics
  • Science: Mathematics
 2023
On capital allocation for a risk measure derived from ruin theory Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2022
Multivariate matrix-exponential affine mixtures and their applications in risk theory Insurance: Mathematics and Economics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 1 2022
Citations Analysis
Category Category Repetition
Science: Mathematics46
Social Sciences: Economic theory. Demography: Economics as a science45
Social Sciences: Commerce: Business44
Science: Mathematics: Probabilities. Mathematical statistics38
Social Sciences: Statistics37
Social Sciences: Finance25
Technology: Manufactures: Production management. Operations management6
Technology: Engineering (General). Civil engineering (General)5
Social Sciences: Finance: Insurance5
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods4
Social Sciences: Sociology (General)4
Social Sciences: Commerce: Business: Accounting. Bookkeeping3
Technology: Technology (General): Industrial engineering. Management engineering1
Social Sciences: Industries. Land use. Labor: Economic growth, development, planning1
Social Sciences: Commerce: Business: Personnel management. Employment management1
The category Science: Mathematics 46 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A Unified Approach to Generate Risk Measures and was published in 2003. The most recent citation comes from a 2024 study titled Random distortion risk measures. This article reached its peak citation in 2017, with 11 citations. It has been cited in 36 different journals, 8% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 35 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year