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

DOI10.1016/J.INSMATHECO.2021.06.005zbMATH Open1471.91451OpenAlexW3175957685MaRDI QIDQ2234769FDOQ2234769

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

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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)

Cites Work

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• Risk measures based on behavioural economics theory

Cited In (7)

• 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
• Optimal capital allocation in a hierarchical corporate structure
• Asymptotic results on tail moment and tail central moment for dependent risks
• 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

Uses Software

• QRM

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