Optimal capital allocation in a hierarchical corporate structure

DOI10.1016/j.insmatheco.2014.02.009zbMath1304.91239OpenAlexW3124432437MaRDI QIDQ2513455

Andreas Tsanakas, Yaniv Zaks

Publication date: 28 January 2015

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5939/1/ZaksTsanakas2014.pdf

zbMATH Keywords

capital allocationSolvency IIBasel IIhierarchical firmsweighted capital allocation

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items

Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ Distortion measures and homogeneous financial derivatives ⋮ Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework ⋮ Multiobjective optimization of credit capital allocation in financial institutions ⋮ Forecasting compositional risk allocations ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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