On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

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.

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Official URL: http://dx.doi.org/10.3390/risks4030030

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
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:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3025017