21
On Correlations between a Contract and Portfolio and Internal Capital Alliocation
21.2 Adding a Deal to a Company Portfolio
21.3 Example: Correlated Power-Law Distributions
21.4 Formula for the Quantile Shift
21.5 Quantile Shift Under Secondary Uncertainty
21.6 Capital Allocation by Average Shortfall
21.7 Evolution of Quantiles in Portfolio Aggregation
21.1 Introduction
Modern financial contracts and insurance deals are characterized by swap-like positive and negative volatile cash flows. A company expecting such flows prepares itself in advance by setting aside a certain amount of capital for a specified period of time even ...
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