Capital Allocation Survey with Commentary

DOI10.1080/10920277.2004.10596139MaRDI QIDQ5715968zbMATH OpenOpenAlexFDO

Authors G. Venter

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596139

Mathematics Subject Classification ID

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• scientific article; zbMATH DE number 1538071

Cites work

• A Universal Framework for Pricing Financial and Insurance Risks
• Coherent measures of risk
• Common risk factors in the returns on stocks and bonds

Cited in

(15)

• A capital allocation based on a solvency exchange option
• Dynamic capital allocation with irreversible investments
• Weighted risk capital allocations in the presence of systematic risk
• Optimal risk-sharing across a network of insurance companies
• On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
• Excess based allocation of risk capital
• Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
• Raising and allocation capital principles as optimal managerial contracts
• The optimal asset and liability portfolio for a financial institution with multiple lines of businesses
• Some remarks on capital allocation by percentile layer
• Financial pricing models for property-casualty insurance products
• Capital allocation in insurance: economic capital and the allocation of the default option value
• Using Aumann-Shapley values to allocate insurance risk: the case of inhomogeneous losses
• Weighted Pricing Functionals With Applications to Insurance
• Weighted risk capital allocations

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