A capital allocation based on a solvency exchange option

DOI10.1016/j.insmatheco.2008.11.006zbMath1162.91380OpenAlexW2090634040MaRDI QIDQ1023096

Joseph H. T. Kim, Mary R. Hardy

Publication date: 10 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.11.006

zbMATH Keywords

capital allocationfair allocation axiomssolvency exchange option

Mathematics Subject Classification ID

Related Items (10)

An impossibility theorem on capital allocation ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ On the Impossibility of Fair Risk Allocation ⋮ Excess based allocation of risk capital ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ A monotonicity property of the composition of regularized and inverted-regularized gamma functions with applications ⋮ Properties and comparison of risk capital allocation methods ⋮ Capital Allocation Using the Bootstrap ⋮ Factor risk quantification in annuity models ⋮ MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK

Cites Work

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• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Economic Capital Allocation Derived from Risk Measures
• Tail Conditional Expectations for Elliptical Distributions
• A Note on the Myers and Read Capital Allocation Formula
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