Capital Allocation Rules and Generalized Collapse to the Mean
“In the [#riskmanagement] context of #capitalallocation principles for (not necessarily coherent) #riskmeasures, we derive – under mild conditions – some representation results as “collapse to the mean” in a generalized sense. This approach is related to the well-known Gradient allocation and allows to extend a result of Kalkbrener (Theorem 4.3 in cite{kalkbr05}) to a non-differentiable setting as well […]
Risk Management, Capital Budgeting, and Capital Structure Policy for Insurers and Reinsurers
This article offers a #riskmanagement framework specifically designed for the #insurance and #reinsurance industries to analyze the #capitalallocation of risk, capital budgeting, and capital structure decisions. Lire
Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance
“The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and premia calculation under uncertainty.” Lire
Multivariate matrix-exponential affine mixtures and their applications in risk theory
“… results are applied in a wide range of actuarial problems including multivariate risk measures, aggregate loss, large claims reinsurance, weighted premium calculations and risk capital allocation. “ Lire