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

Assa, H., Morales, Manuel, Omidi Firouzi, Hassan (2016) On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory. Risks, 4 (3). ISSN 2227-9091. (doi:10.3390/risks4030030) (KAR id:87826)

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
DOI/Identification number: 10.3390/risks4030030
Uncontrolled keywords: capital allocation; Euler allocation method; coherent risk measures; Lévy insurance processes; risk measures on the space of stochastic processes
Subjects: H Social Sciences
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Hirbod Assa
Date Deposited: 29 Apr 2021 14:26 UTC
Last Modified: 10 Dec 2022 05:06 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/87826 (The current URI for this page, for reference purposes)
Assa, H.: https://orcid.org/0000-0002-4429-8684
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