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Economic Capital Allocations for Non-negative Portfolios of Dependent Risks

Published online by Cambridge University Press:  17 April 2015

Edward Furman  and
Zinoviy Landsman
Edward Furman
Affiliation:
Department of Mathematics and Statistics, York University, Toronto, ON, Canada, M3J 1P3, E-mail: [email protected]
Zinoviy Landsman
Affiliation:
Department of Statistics, University of Haifa, Haifa, Mount Carmel 31905, Israel, E-mail: [email protected]
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Abstract

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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.

Keywords

Economic capital allocationstail conditional expectation risk measuremultivariate non-negative dependent risksmultivariate Tweedie distributionsmultivariate compound Poisson distributions
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 2 , November 2008 , pp. 601 - 619
Copyright
Copyright © ASTIN Bulletin 2008

Footnotes

1

Corresponding author, tel.:+1-416-736-2100 (Ext 33768), fax:+1-416-736-5757.

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