کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076650 1477217 2014 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
GlueVaR risk measures in capital allocation applications
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
GlueVaR risk measures in capital allocation applications
چکیده انگلیسی
GlueVaR risk measures defined by Belles-Sampera et al. (2014) generalize the traditional quantile-based approach to risk measurement, while a subfamily of these risk measures has been shown to satisfy the tail-subadditivity property. In this paper we show how GlueVaR risk measures can be implemented to solve problems of proportional capital allocation. In addition, the classical capital allocation framework suggested by Dhaene et al. (2012) is generalized to allow the application of the Value-at-Risk (VaR) measure in combination with a stand-alone proportional allocation criterion (i.e., to accommodate the Haircut allocation principle). Two new proportional capital allocation principles based on GlueVaR risk measures are defined. An example based on insurance claims data is presented, in which allocation solutions with tail-subadditive risk measures are discussed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 58, September 2014, Pages 132-137
نویسندگان
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