On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
AbstractIn this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdlàg processes. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive Lévy process. We focus our motivation and discussion on the problem of capital allocation. Indeed, this risk measure is well-suited to address the problem of capital allocation in an insurance context. We show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples and connections with existing results as well as practical implications are also discussed. View Full-Text
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Assa, H.; Morales, M.; Omidi Firouzi, H. On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory. Risks 2016, 4, 30.
Assa H, Morales M, Omidi Firouzi H. On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory. Risks. 2016; 4(3):30.Chicago/Turabian Style
Assa, Hirbod; Morales, Manuel; Omidi Firouzi, Hassan. 2016. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory." Risks 4, no. 3: 30.
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