To Split or Not to Split: Capital Allocation with Convex Risk Measures
نویسندگان
چکیده
منابع مشابه
“ TCP Over OBS : To Split or Not To Split ? ”
Internet technology has advanced significantly over last decade. Now Internet is used not only to check emails or access information. Today’s Internet demands services such as video on demand, grid computing and very high data send rates which are bursty in nature. Current technology is unable to service such high bandwidth demands. Optical Burst Switching (OBS) technology shows huge potential ...
متن کاملTo split or not to split: Selecting the right server with batch arrivals
We consider a dispatching system, where jobs, arriving in batches, are assigned to single-server FCFS queues. Batches can be split to different queues on per job basis. However, the holding costs are batch-specific and incurred until the last member of the batch completes the service. By using the first policy improvement step of the MDP framework, we are able to derive robust dispatching polic...
متن کاملRisk Measures , Risk Aggregation and Capital Allocation
We consider risk measures, risk aggregation and capital allocation in these lecture notes and build on our earlier introduction to Value-at-Risk (VaR) and Expected Shortfall (ES). We will follow Chapter 8 of the 2 edition of Quantitative Risk Management by MFE quite closely. This chapter, however, contains considerably more material than we will cover and it should be consulted if further detai...
متن کاملSeronegative spondyloarthropathies: to lump or split?
The advent of novel biological therapies for the treatment of rheumatic disease has renewed interest in the seronegative spondyloarthropathies (SpAs). International efforts are redefining disease classification and measures of disease activity, outcome, metrology, and imaging. However, opinion is divided between those who propose that the SpA group represents the same disease with variable expr...
متن کاملEconomic capital allocation derived from risk measures
We examine properties of risk measures that can be considered to be in line with some ‘best practice’ rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for addition of risk measures. We demonstrat...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1026227