Managing Economic and Virtual Economic Capital Within Financial Conglomerates

DOI10.1080/10920277.2005.10596212zbMath1141.91442OpenAlexW2521672752MaRDI QIDQ3518778

Roger J. A. Laeven, Marc J. Goovaerts, Eddy van Den Borre

Publication date: 12 August 2008

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

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596212

Mathematics Subject Classification ID

Related Items (7)

Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Excess based allocation of risk capital ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ Decision principles derived from risk measures ⋮ A capital allocation based on a solvency exchange option ⋮ Raising and allocation capital principles as optimal managerial contracts ⋮ Using Aumann-Shapley Values to Allocate Insurance Risk

Cites Work

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• Axiomatic characterization of insurance prices
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• Equilibrium in a Reinsurance Market

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