Add to ORKGThe present contribution reviews the procedures (absolute, incremental and marginal capital allocation) as well as the general principles (proportional allocation, covariance-principle, conditional expectation-principle, conditional value-at-risk principle, Euler-principle) for risk based capital allocation. The approaches discussed are applicable for the insurance case, the investment case and as well for credit risks.
ABSTRACT Capital allocation for credit portfolios has two meanings. First, at portfolio level it mea...
This contribution relates to the use of risk measures for determining (re)insurers’ economic capital...
International audienceEuropean insurance sector will soon be faced with the application of the Solve...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
Insurance companies or other financial institutions face financial risks during their various activi...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The cost of operational risk refers to the capital needed to afford the loss generated by ordinary a...
In this paper we make a short survey on the problem of Capital Allocation through the use of risk m...
This article develops a unifying framework for allocating the aggregate capital of a financial firm ...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdl...
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principl...
Almost all large corporations face decisions on capital allocations. By correctly allocating capital...
ABSTRACT Capital allocation for credit portfolios has two meanings. First, at portfolio level it mea...
This contribution relates to the use of risk measures for determining (re)insurers’ economic capital...
International audienceEuropean insurance sector will soon be faced with the application of the Solve...
The present contribution reviews the procedures (absolute, incremental and marginal capital allocati...
Insurance companies or other financial institutions face financial risks during their various activi...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms...
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to...
The cost of operational risk refers to the capital needed to afford the loss generated by ordinary a...
In this paper we make a short survey on the problem of Capital Allocation through the use of risk m...
This article develops a unifying framework for allocating the aggregate capital of a financial firm ...
In this thesis we address the issue of covering risks by allocating capital and solving the so-calle...
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdl...
We introduce the notion of set-valued Capital Allocation rule, and study Capital allocation principl...
Almost all large corporations face decisions on capital allocations. By correctly allocating capital...
ABSTRACT Capital allocation for credit portfolios has two meanings. First, at portfolio level it mea...
This contribution relates to the use of risk measures for determining (re)insurers’ economic capital...
International audienceEuropean insurance sector will soon be faced with the application of the Solve...