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Risk Measures and Comonotonicity: A Review
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. SpecialExpand
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Optimal Capital Allocation Principles
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimisation argument, requiring that the weightedExpand
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Value-at-Risk Bounds with Variance Constraints
Recent literature deals with bounds on the Value-at-Risk (VaR) of risky portfolios when only the marginal distributions of the components are known. In this paper we study Value-at-Risk bounds whenExpand
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Some Results on the Cte Based Capital Allocation Rule
Tasche [Tasche, D., 1999. Risk contributions and performance measurement. Working paper, Technische Universitat Munchen] introduces a capital allocation principle where the capital allocated to eachExpand
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Asset Correlations : A Literature Review and Analysis of the Impact of Dependent Loss Given Defaults
The Basel II Accord outlines a general framework for determining regulatory capital requirements for credit risk portfolios. Different obligors usually operate in dependent socio-economicExpand
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Comonotonic Approximations for Optimal Portfolio Selection Problems
We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimalExpand
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Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
In this article, we study the fair fee of a flexible premium variable annuity (FPVA), in which the policyholder can choose to pay periodic premiums during the accumulation phase instead of a singleExpand
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Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
In this paper, we establish several relations between convex order, variance order, and comonotonicity. In the first part, we extend Cheung (2008b) to show that when the marginal distributions areExpand
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Capital requirements, risk measures and comonotonicity
In this paper we examine and summarize proper- ties of several well-known risk measures, with special atten- tion given to the class of distortion risk measures. We inves- tigate the relationshipExpand
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Discussion on 'Weighted Pricing Functionals With Applications to Insurance: An Overview'
The authors are to be congratulated with this timely and well written overview paper on weighted pricing functionals. In Section 5 the authors analyse Stein-type arguments for assessing pricingExpand
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