| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076633 | Insurance: Mathematics and Economics | 2014 | 7 Pages |
Abstract
The current Solvency II process makes risk capital allocation to different business lines more and more important. This paper considers two business lines with the exponential loss distributions linked by a Farlie-Gumbel-Morgenstern (FGM) copula, modelling the dependence between them. As an allocation principle we use the Tail Covariance Premium Adjusted and obtain expressions for the allocation to the two business lines.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Min Wang,