scholarly journals Some Results on the Risk Capital Allocation Rule Induced by the Conditional Tail Expectation Risk Measure

2021 ◽  
Author(s):  
Nawaf Mohammed ◽  
Edward Furman ◽  
Jianxi Su
Keyword(s):  
Risk Measure ◽  
Capital Allocation ◽  
Allocation Rule ◽  
Risk Capital ◽  
Risk Capital Allocation ◽  
Conditional Tail Expectation

scholarly journals Sharing Risk – An Economic Perspective

2009 ◽  
Vol 39 (2) ◽  
pp. 591-613 ◽  
Author(s):  
Andreas Kull
Keyword(s):  
Value At Risk ◽  
Risk Sharing ◽  
Risk Measures ◽  
Insurance Industry ◽  
Risk Measure ◽  
Capital Allocation ◽  
Risk Capital ◽  
Risk Class ◽  
Capital Costs ◽  
Risk Transfer

AbstractWe revisit the relative retention problem originally introduced by de Finetti using concepts recently developed in risk theory and quantitative risk management. Instead of using the Variance as a risk measure we consider the Expected Shortfall (Tail-Value-at-Risk) and include capital costs and take constraints on risk capital into account. Starting from a risk-based capital allocation, the paper presents an optimization scheme for sharing risk in a multi-risk class environment. Risk sharing takes place between two portfolios and the pricing of risktransfer reflects both portfolio structures. This allows us to shed more light on the question of how optimal risk sharing is characterized in a situation where risk transfer takes place between parties employing similar risk and performance measures. Recent developments in the regulatory domain (‘risk-based supervision’) pushing for common, insurance industry-wide risk measures underline the importance of this question. The paper includes a simple non-life insurance example illustrating optimal risk transfer in terms of retentions of common reinsurance structures.

scholarly journals τ-value for risk capital allocation problems

2020 ◽  
Vol 48 (6) ◽  
pp. 752-757
Author(s):  
Tim J. Boonen
Keyword(s):  
Capital Allocation ◽  
Risk Capital ◽  
Allocation Problems ◽  
Risk Capital Allocation

CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES

2020 ◽  
Vol 23 (01) ◽  
pp. 2050009
Author(s):  
FRANCESCA CENTRONE ◽  
EMANUELA ROSAZZA GIANIN
Keyword(s):  
Convex Set ◽  
Risk Measures ◽  
Risk Measure ◽  
Capital Allocation ◽  
Allocation Rule ◽  
Scalar Case ◽  
Representation Theorems ◽  
Allocation Rules ◽  
The One ◽  
Definition Of

We introduce the definition of set-valued capital allocation rule, in the context of set-valued risk measures. In analogy to some well known methods for the scalar case based on the idea of marginal contribution and hence on the notion of gradient and sub-gradient of a risk measure, and under some reasonable assumptions, we define some set-valued capital allocation rules relying on the representation theorems for coherent and convex set-valued risk measures and investigate their link with the notion of sub-differential for set-valued functions. We also introduce and study the set-valued analogous of some properties of classical capital allocation rules, such as the one of no undercut. Furthermore, we compare these rules with some of those mostly used for univariate (single-valued) risk measures. Examples and comparisons with the scalar case are provided at the end.

Economic risk capital allocation from top down

2002 ◽  
Vol 25 (4) ◽  
pp. 885-891 ◽  
Author(s):  
Werner Hürlimann
Keyword(s):  
Capital Allocation ◽  
Economic Risk ◽  
Risk Capital ◽  
Top Down ◽  
Risk Capital Allocation

Properties and comparison of risk capital allocation methods

2017 ◽  
Vol 259 (2) ◽  
pp. 614-625 ◽  
Author(s):  
Dóra Balog ◽  
Tamás László Bátyi ◽  
Péter Csóka ◽  
Miklós Pintér
Keyword(s):  
Capital Allocation ◽  
Risk Capital ◽  
Risk Capital Allocation ◽  
Allocation Methods

Toward an efficient people-risk capital allocation for financial firms: evidence from US banks

2017 ◽  
Vol 12 (4) ◽  
pp. 71-94
Author(s):  
José Manuel Feria-Dominguez ◽  
Enrique Jiménez-Rodríguez
Keyword(s):  
Capital Allocation ◽  
Risk Capital ◽  
Financial Firms ◽  
Risk Capital Allocation

A numerical approach to the risk capital allocation problem

2021 ◽  
Author(s):  
Henryk Gzyl ◽  
Silvia Mayoral
Keyword(s):  
Numerical Approach ◽  
Capital Allocation ◽  
Allocation Problem ◽  
Risk Capital ◽  
Risk Capital Allocation

scholarly journals A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems

2012 ◽  
Author(s):  
Tim Boonen ◽  
Anja M.B. De Waegenaere ◽  
Henk W. Norde
Keyword(s):  
Shapley Value ◽  
Capital Allocation ◽  
Risk Capital ◽  
Allocation Problems ◽  
Risk Capital Allocation
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