Assa, Hirbod, Morales, Manuel and Omidi Firouzi, Hassan
(2016)
On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory.
Risks, 4 (3).
p. 30.
Abstract
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdlàg processes. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive Lévy process. We focus our motivation and discussion on the problem of capital allocation. Indeed, this risk measure is well-suited to address the problem of capital allocation in an insurance context. We show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples and connections with existing results as well as practical implications are also discussed.
Item Type: | Article |
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Uncontrolled Keywords: | capital allocation, Euler allocation method, coherent risk measures, Levy insurance processes, risk measures on the space of stochastic processes |
Depositing User: | Symplectic Admin |
Date Deposited: | 14 Aug 2018 14:04 |
Last Modified: | 16 Mar 2024 11:23 |
DOI: | 10.3390/risks4030030 |
Open Access URL: | http://www.mdpi.com/2227-9091/4/3/30 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3025017 |