Parameterization of Threshold Accepting: The Case of Economic Capital Allocation

2012 ◽  
pp. 517-530
Author(s):  
H.-P. Burghof ◽  
J. Müller
Keyword(s):  
Capital Allocation ◽  
Economic Capital ◽  
Threshold Accepting

scholarly journals ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS

2014 ◽  
Vol 45 (1) ◽  
pp. 175-205 ◽  
Author(s):  
Enkelejd Hashorva ◽  
Gildas Ratovomirija
Keyword(s):  
North American ◽  
Stochastic Models ◽  
Capital Allocation ◽  
Economic Capital ◽  
Individual Risk ◽  
Dependence Structure ◽  
Simulation Studies ◽  
Numerical Examples ◽  
Dependence Measures ◽  
Analytical Expressions

AbstractIn this paper we consider an extension to the aggregation of the FGM mixed Erlang risks, proposed by Cossette et al. (2013 Insurance: Mathematics and Economics, 52, 560–572), in which we introduce the Sarmanov distribution to model the dependence structure. For our framework, we demonstrate that the aggregated risk belongs to the class of Erlang mixtures. Following results from S. C. K. Lee and X. S. Lin (2010 North American Actuarial Journal, 14(1) 107–130), G. E. Willmot and X. S. Lin (2011 Applied Stochastic Models in Business and Industry, 27(1) 8–22), analytical expressions of the contribution of each individual risk to the economic capital for the entire portfolio are derived under both the TVaR and the covariance capital allocation principle. By analysing the commonly used dependence measures, we also show that the dependence structure is wide and flexible. Numerical examples and simulation studies illustrate the tractability of our approach.

scholarly journals Economic Capital Allocation Derived from Risk Measures

2003 ◽  
Vol 7 (2) ◽  
pp. 44-56 ◽  
Author(s):  
Jan Dhaene ◽  
Mark J. Goovaerts ◽  
Rob Kaas
Keyword(s):  
Risk Measures ◽  
Capital Allocation ◽  
Economic Capital

Allocation Method of Commercial Bank Economic Capital Based on Consistency Principle

2013 ◽  
Vol 850-851 ◽  
pp. 1061-1064
Author(s):  
Song Lin Liu ◽  
Zheng Mei Fu
Keyword(s):  
Game Theory ◽  
Commercial Bank ◽  
Shapley Value ◽  
Operating Performance ◽  
Sufficient Conditions ◽  
Capital Allocation ◽  
Economic Capital ◽  
Allocation Method ◽  
Risk Contribution ◽  
Necessary And Sufficient

Thesis consistency principle and game theory shapley value based method for Denault a qualitative improvements proposed for the commercial bank's economic capital allocation method. By introducing Yasumitsu conditions have been shapley value to meet the necessary and sufficient conditions for consistency, to find a judge shapley value meets the consistency of a more complete theory. This approach is consistent with the bank's overall optimal requirements, you can make the best commercial bank from the overall perspective of determining the risk contribution of each branch to evaluate operating performance, and ultimately determine the various branches of the annual economic capital limit.

Sign in / Sign up

Export Citation Format

Share Document