An optimization approach to the dynamic allocation of economic capital

Insurance: Mathematics and Economics - Tập 35 Số 2 - Trang 299-319 - 2004
Roger J. A. Laeven1,2, Marc Goovaerts3,1
1Department of Quantitative Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands
2Mercer Oliver Wyman, Startbaan 6, 1185 XR Amstelveen, The Netherlands
3Center for Risk and Insurance Studies, Catholic University of Leuven, Naamsestraat 69, B-3000 Leuven, Belgium

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