Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas How superadditive can a risk measure be? (English) Zbl 1338.91080 SIAM J. Financ. Math. 6, 776-803 (2015). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{R. Wang} et al., SIAM J. Financ. Math. 6, 776--803 (2015; Zbl 1338.91080) Full Text: DOI Link
Tsanakas, Andreas To split or not to split: Capital allocation with convex risk measures. (English) Zbl 1165.91423 Insur. Math. Econ. 44, No. 2, 268-277 (2009). MSC: 91B30 91B28 91B32 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 44, No. 2, 268--277 (2009; Zbl 1165.91423) Full Text: DOI Link
Tsanakas, Andreas Risk measurement in the presence of background risk. (English) Zbl 1152.91607 Insur. Math. Econ. 42, No. 2, 520-528 (2008). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{A. Tsanakas}, Insur. Math. Econ. 42, No. 2, 520--528 (2008; Zbl 1152.91607) Full Text: DOI Link