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Capital Allocation Based on the Tail Covariance Premium Adjusted
Company: Insurance: Mathematics and Economics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: June
Resource Link: Click here to open
Pages: 125-131
Download Count: 0
View Count: 555
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-4-2014
Publisher: Administrator
Summary
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.
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Wang, Min Sign in to follow this author
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