Raising and allocation capital principles as optimal managerial contracts

DOI10.1080/03461238.2010.540154zbMath1287.91148OpenAlexW2020238845MaRDI QIDQ2868595

Fernando Mierzejewski

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2010.540154

zbMATH Keywords

value-at-riskdeposit insurancecapital allocationagency theoryeconomic capital

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

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• A Model of Contract Guarantees for Credit-Sensitive, Opaque Financial Intermediaries *
• Economic Capital Allocation Derived from Risk Measures
• Capital Allocation Survey with Commentary
• Application of Coherent Risk Measures to Capital Requirements in Insurance

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