Capital Allocation Survey with Commentary

DOI10.1080/10920277.2004.10596139zbMath1085.91517OpenAlexW2295627347MaRDI QIDQ5715968

Gary Venter

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596139

Mathematics Subject Classification ID

Related Items (15)

The optimal asset and liability portfolio for a financial institution with multiple lines of businesses ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Excess based allocation of risk capital ⋮ Optimal risk-sharing across a network of insurance companies ⋮ Some remarks on capital allocation by percentile layer ⋮ Dynamic capital allocation with irreversible investments ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ Weighted risk capital allocations ⋮ On log-normal convolutions: an analytical-numerical method with applications to economic capital determination ⋮ A capital allocation based on a solvency exchange option ⋮ Financial Pricing Models for Property-Casualty Insurance Products ⋮ Capital Allocation In Insurance ⋮ Raising and allocation capital principles as optimal managerial contracts ⋮ Using Aumann-Shapley Values to Allocate Insurance Risk ⋮ Weighted Pricing Functionals With Applications to Insurance

Cites Work

• Coherent Measures of Risk
• A Universal Framework for Pricing Financial and Insurance Risks
• Common risk factors in the returns on stocks and bonds

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