Longhao Jin

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL 61820

United States

  • University of Illinois at Urbana-Champaign

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Holistic Principle for Risk Aggregation and Capital Allocation

Number of pages: 30 Posted: 23 Mar 2020 Last Revised: 28 Jan 2021
Wing Fung Chong, Runhuan Feng and Longhao Jin
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
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Abstract:

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Risk Management, Risk Aggregation, Capital Allocation, Pareto Optimality, Diversification Benefit