Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

capital allocation sign in to follow this
marginal contribution sign in to follow this
CTE sign in to follow this
conditional tail expectation sign in to follow this
CVaR sign in to follow this
aggregation sign in to follow this
Categories:

VaR Uses sign in to follow this
--Capital sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Some results on the CTE-based capital allocation rule
Company: Insurance: Mathematics and Economics
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: April
Resource Link: Click here to open
Pages: 855-863
Download Count: 0
View Count: 2041
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-12-2010
Publisher: Administrator
Summary
Tasche (1999) introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation (CTE) of the aggregate risk. Panjer (2002) derives a closed-form expression for this allocation rule in the multivariate normal case.? Landsman and Valdez (2002) generalize Panjer's result to the class of multivariate elliptical distributions. In this paper we provide an alternative and simpler proof for the CTE-based allocation formula in the elliptical case. Furthermore, we derive accurate and easy computable closed-form approximations for this allocation formula for sums that involve normal and lognormal risks. A pre-publication version of the document is available here: https://lirias.kuleuven.be/bitstream/123456789/199865/1/vd_note_panjerallocationrulev66.pdf
(volume 42, number 2)
Author(s)
Dhaene, Jan L. M. Sign in to follow this author
Henrard, Luc Sign in to follow this author
Landsman, Zinoviy Sign in to follow this author
Vandendorpe, Antoine Sign in to follow this author
Vanduffel, Steven Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile