On capital allocation for a risk measure derived from ruin theory

DOI10.1016/j.insmatheco.2022.02.001zbMath1490.91169arXiv2103.16264OpenAlexW3147123249MaRDI QIDQ2138618

G. A. Delsing, P. J. C. Spreij, M. R. H. Mandjes, Erik M. M. Winands

Publication date: 12 May 2022

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

Full work available at URL: https://arxiv.org/abs/2103.16264

zbMATH Keywords

ruin probabilityvalue-at-risk (VaR)insurance riskrisk capital allocationgradient allocation method

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

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