Jaume Belles-Sampera

University of Barcelona - Riskcenter-IREA

Av. Diagonal, 690

Barcelona, 08034

Spain

SCHOLARLY PAPERS

2

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CROSSREF CITATIONS

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Scholarly Papers (2)

1.

Distortion Risk Measures for Nonnegative Multivariate Risks

Journal of Operational Risk, Vol. 13, No. 2, 2018
Number of pages: 24 Posted: 12 Jun 2018
University of Barcelona, University of Cantabria - Department of Economics, University of Barcelona - Riskcenter-IREA and University of Cantabria - Department of Economics
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Abstract:

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distortion functions; multivariate risk, multiperiod risk assessment, dependence, risk aggregation, multivariate loss.

2.

Compositional Methods Applied to Capital Allocation Problems

Journal of Risk, Forthcoming
Number of pages: 16 Posted: 28 Oct 2016
Jaume Belles-Sampera, Montserrat Guillen and Miguel Santolino
University of Barcelona - Riskcenter-IREA, affiliation not provided to SSRN and University of Barcelona - Department of Econometrics
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Abstract:

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risk management, simplex, Aitchison distance, geometric average, capital allocation problems