A capital allocation based on a solvency exchange option

DOI10.1016/J.INSMATHECO.2008.11.006MaRDI QIDQ1023096zbMATH OpenOpenAlexFDO

Authors Joseph H. T. Kim, Mary R. Hardy

Publication date 10 June 2009

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2008.11.006

zbMATH Keywords

capital allocationfair allocation axiomssolvency exchange option

Mathematics Subject Classification ID

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Cites work

• A Note on the Myers and Read Capital Allocation Formula
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Capital Allocation Survey with Commentary
• Conditional tail expectations for multivariate phase-type distributions
• Economic Capital Allocation Derived from Risk Measures
• scientific article; zbMATH DE number 1538071 (Why is no real title available?)
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Managing Economic and Virtual Economic Capital Within Financial Conglomerates
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Tail Conditional Expectations for Elliptical Distributions
• Tail Conditional Expectations for Exponential Dispersion Models
• Using Aumann-Shapley values to allocate insurance risk: the case of inhomogeneous losses
• Wang's capital allocation formula for elliptically contoured distributions.
• “Capital Allocation In Insurance: Economic Capital And The Allocation Of The Default Option Value,” By Michael Sherris And John van der Hoek, April 2006

Cited in

(12)

• An asymptotic characterization of hidden tail credit risk with actuarial applications
• Properties and comparison of risk capital allocation methods
• Allocation of solvency cost in group annuities: Actuarial principles and cooperative game theory
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
• Excess based allocation of risk capital
• Factor risk quantification in annuity models
• Allocation of Capital Between Assets and Liabilities
• On the impossibility of fair risk allocation
• Capital Allocation Using the Bootstrap
• MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
• An impossibility theorem on capital allocation
• A monotonicity property of the composition of regularized and inverted-regularized gamma functions with applications

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