| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077074 | Insurance: Mathematics and Economics | 2012 | 17 Pages |
Abstract
⺠We propose a new rule to allocate risk capital to portfolios or divisions. ⺠The goal is to minimize the excesses in a lexicographical sense. ⺠We investigate the properties of the rule. ⺠We show how the allocation can be determined via linear programming. ⺠We apply the rule to determine capital allocations in a life insurance setting.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gerwald van Gulick, Anja De Waegenaere, Henk Norde,