Weighted risk capital allocations in the presence of systematic risk

DOI10.1016/j.insmatheco.2017.12.010zbMath1401.91139OpenAlexW2776841054MaRDI QIDQ1742709

Edward Furman, Alexey Kuznetsov, Ričardas Zitikis

Publication date: 12 April 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.12.010

zbMATH Keywords

systematic riskGini measure of variabilityweighted insurance pricing modelweighted risk capital allocationweighted risk measure

Mathematics Subject Classification ID

Related Items (10)

Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ From risk sharing to pure premium for a large number of heterogeneous losses ⋮ Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Peer-to-peer risk sharing with an application to flood risk pooling ⋮ LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ An approximation method for risk aggregations and capital allocation rules based on additive risk factor models ⋮ Statistical detection and classification of background risks affecting inputs and outputs ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES

Uses Software

• QRM

Cites Work

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