Economic Capital Allocation Derived from Risk Measures

North American Actuarial Journal

Volumn 7, Issue 2, 2003, Pages 44-56

  Dhaene, Jan ^a   Goovaerts, Mark J ^a   Kaas, Rob ^b  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84967550565     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2003.10596084     Document Type: Article

References (14)

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2. ARTZNER, P., F. DELBAEN, J. M. EBER, and D. HEATH. 1999. “Coherent Measures of Risk.” Mathematical Finance 9: 203-28.
3. BÜHLMANN, H. 1985. “Premium Calculation from Top-Down.” ASTIN Bulletin 15: 89-101.
4. DHAENE, J., M. DENUIT, M. J. GOOVAERTS, R. KAAS, and D. VYNCKE. 2002a. “The Concept of Comonotonicity in Actuarial Science and Finance: Theory.” Insurance: Mathematics and Economics 31(1): 3-33.
5. DHAENE, J., M. DENUIT, M. J. GOOVAERTS, R. KAAS, and D. VYNCKE. 2002b. “The Concept of Comonotonicity in Actuarial Science and Finance: Applications.” Insurance: Mathematics and Economics 31(2): 133-61.
6. GERBER, H. U. 1979. An Introduction to Mathematical Risk Theory. Huebner Foundation Monograph 8. Homewood, IL: Richard D. Irwin.
7. GOOVAERTS, M. J., F. DE VYLDER, and J. HAEZENDONCK. 1984. Insurance Premiums. Amsterdam: North-Holland.
8. GOOVAERTS, M. J., J. DHAENE, and R. KAAS. 2001. “Risk Measures, Measures for Insolvency Risk and Economic Capital Allocation.” Tijdschrift voor Economie en Management 44(4): 545-59.
9. KAAS, R., M. J. GOOVAERTS, J. DHAENE, and M. DENUIT. 2001. Modern Actuarial Risk Theory. Boston: Kluwer.
10. PANJER, H. H. 2001. “Measurement of Risk, Solvency Requirements and Allocation of Capital within Financial Conglomerates.” Research Report 01-15. Institute of Insurance and Pension Research, University of Waterloo.
11. ROTHSCHILD, M., and J. E. STIGLITZ. 1970. “Increasing Risk: I. A Definition.” Journal of Economic Theory 2: 225-43.
12. ROTHSCHILD, M., and J. E. STIGLITZ. 1971. “Increasing Risk II: Its Economic Consequences.” Journal of Economic Theory 3: 66-84.
13. SHIU, E. S. W. 2000. Discussion of Artzner, P. (1999). “Application of Coherent Risk Measures to Capital Requirements in Insurance.” North American Actuarial Journal 4(1): 115-6.
14. WANG, S. 1996. “Premium Calculation by Transforming the Layer Premium Density.” ASTIN Bulletin 26: 71-92.