Economic capital allocations for non-negative portfolios of dependent risks

Edward Furman, Zinoviy Landsman

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper we explore the problem of economic capital allocations in the context of non-negative multivariate (insurance) risks possessing a dependence structure. We derive a general result and illustrate it with a number of useful examples. One such example, for instance, develops explicit expressions for the discussed economic capital decomposition rule when the underlying portfolio consists of dependent compound Poisson risks.

Original languageEnglish
Pages (from-to)601-619
Number of pages19
JournalASTIN Bulletin
Volume38
Issue number2
DOIs
StatePublished - Nov 2008

Keywords

  • Economic capital allocations
  • Multivariate compound poisson distributions
  • Multivariate non-negative dependent risks
  • Multivariate Tweedie distributions
  • Tail conditional expectation risk measure

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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