Some results on the CTE-based capital allocation rule

Keyphrases

• Conditional Tail Expectation 100%
• Allocation Formula 100%
• Capital Allocation Rules 100%
• Performance Measurement 50%
• Computable 50%
• North America 50%
• Pensions 50%
• Insurance 50%
• Closed-form Expression 50%
• Simple Proof 50%
• Alternative Proof 50%
• Allocation Rules 50%
• Elliptical Distribution 50%
• Tail Conditional Expectation 50%
• Multivariate Elliptical Distribution 50%
• Aggregate Risk 50%
• Multivariate Normal 50%
• Lognormal 50%
• Conditional Tail Expectation-based Allocation 50%
• Financial Conglomerates 50%
• Solvency Requirements 50%
• Contribution Measurement 50%
• Capital Allocation Principle 50%
• Closed-form Approximation 50%
• Risk Contribution 50%
• Risk Performance 50%
• University of Waterloo 50%

Economics, Econometrics and Finance

• Conditional Tail Expectation 100%
• Performance Measurement 25%