Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure

DOI10.1016/J.INSMATHECO.2021.06.005MaRDI QIDQ2234769zbMATH OpenOpenAlexFDO

Authors Jun Cai, Ying Wang

Publication date 19 October 2021

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.06.005

zbMATH Keywords

risk measureoptimal capital allocationextreme tail eventsgeneralized inverse functionhierarchical corporate structure

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

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Cited in

(7)

• Optimal capital allocation in a hierarchical corporate structure
• Holistic principle for risk aggregation and capital allocation
• Optimal capital allocation for individual risk model using a mean-variance principle
• Capital allocation with multivariate convex risk measures
• Asymptotic results on tail moment and tail central moment for dependent risks
• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution

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