Allocation of Capital Between Assets and Liabilities

DOI10.2143/AST.38.1.2030400MaRDI QIDQ3395757zbMATH OpenOpenAlexFDO

Authors Yingjie Zhang

Publication date 13 September 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.38.1.2030400

zbMATH Keywords

capital allocationexpected value of default

Mathematics Subject Classification ID

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Cites work

• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

Cited in

(13)

• scientific article; zbMATH DE number 2065345 (Why is no real title available?)
• Capital allocation and RORAC optimization under Solvency 2 standard formula
• Cash flow techniques for asset liability management
• Capital and asset allocation
• Insurance Capital as a Shared Asset
• Some remarks on capital allocation by percentile layer
• The Impact of Capital Structure on Economic Capital and Risk Adjusted Performance
• On capital allocation for a risk measure derived from ruin theory
• Capital Allocation Survey with Commentary
• A Note on the Myers and Read Capital Allocation Formula
• Capital allocation in insurance: economic capital and the allocation of the default option value
• Authors' reply: ``Capital allocation in insurance: economic capital and the allocation of the default option value -- discussion by Helmut Gründl and Hato Schmeiser
• A capital allocation based on a solvency exchange option

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