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GlueVaR Risk Measures in Capital Allocation Applications
Company: Insurance: Mathematics and Economics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: September
Resource Link: Click here to open
Pages: 132-137
Download Count: 0
View Count: 722
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-31-2014
Publisher: Administrator
Summary
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.
(volume 58)
Author(s)
Guillen, Monserrat Sign in to follow this author
Belles-Sampera, Jaume Sign in to follow this author
Santolino, Miguel Sign in to follow this author
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