Economic Capital Allocation Derived from Risk Measures

@inproceedings{Dhaene2002EconomicCA,
  title={Economic Capital Allocation Derived from Risk Measures},
  author={Jan Dhaene and Mark J. Goovaerts and Rob Kaas},
  year={2002}
}
We examine properties of risk measures that can be considered to be in line with some ‘best practice’ rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for addition of risk measures. We demonstrate that imposing properties that are generally valid for risk measures, in all possible dependency… CONTINUE READING

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