A Note on the Myers and Read Capital Allocation Formula

DOI10.1080/10920277.2004.10596135zbMath1085.62512OpenAlexW2154192703MaRDI QIDQ5715960

Stephen J. M. Mildenhall

Publication date: 6 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596135

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Capital allocation for portfolios with non-linear risk aggregation ⋮ A capital allocation based on a solvency exchange option ⋮ Financial Pricing Models for Property-Casualty Insurance Products ⋮ Capital Allocation In Insurance ⋮ Using Aumann-Shapley Values to Allocate Insurance Risk

Cites Work

• A martingale approach to premium calculation principles in an arbitrage free market
• Unnamed Item

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