To split or not to split: Capital allocation with convex risk measures
Tóm tắt
Từ khóa
Tài liệu tham khảo
Acerbi, 2002, Spectral measures of risk: A coherent representation of subjective risk aversion, Journal of Banking and Finance, 26, 1505, 10.1016/S0378-4266(02)00281-9
Aumann, 1974
Barrieu, 2005, Inf-convolution of risk measures and optimal risk transfer, Finance and Stochastics, 9, 269, 10.1007/s00780-005-0152-0
Billera, 1982, Allocation of shared costs: A set of axioms yielding a unique procedure, Mathematics of Operations Research, 7, 32, 10.1287/moor.7.1.32
Buch, 2007, Coherent risk measures, coherent capital allocations and the gradient allocation principle, Insurance: Mathematics and Economics, 42, 235, 10.1016/j.insmatheco.2007.02.006
Bühlmann, 1970
Carlier, 2003, Cores of convex distortions of a probability, Journal of Economic Theory, 113, 199, 10.1016/S0022-0531(03)00122-4
Denneberg, 1994
Denuit, 2006, Risk measurement with equivalent utility principles, Statistics and Decisions, 24, 1, 10.1524/stnd.2006.24.1.1
Deprez, 1985, On convex principles of premium calculation, Insurance: Mathematics and Economics, 4, 179, 10.1016/0167-6687(85)90014-9
Detlefsen, 2005, Conditional and dynamic convex risk measures, Finance and Stochastics, 9, 539, 10.1007/s00780-005-0159-6
Dhaene, 2002, The concept of comonotonicity in actuarial science and finance: Theory, Insurance: Mathematics and Economics, 31, 3, 10.1016/S0167-6687(02)00134-8
Dhaene, 1996, Dependency of risks and stop-loss order, ASTIN Bulletin, 26, 201, 10.2143/AST.26.2.563219
Dhaene, J., Tsanakas, A., Valdez, E., Vanduffel, S., 2005, Optimal capital allocation principles, In: 9th International Congress on Insurance: Mathematics and Economics, Quebec, 6–8, July
Filipović, 2008, Optimal capital and risk transfers for group diversification, Mathematical Finance, 18, 55, 10.1111/j.1467-9965.2007.00322.x
Föllmer, 2002, Convex measures of risk and trading constraints, Finance and Stochastics, 6, 429, 10.1007/s007800200072
Frittelli, 2002, Putting order in risk measures, Journal of Banking and Finance, 26, 1473, 10.1016/S0378-4266(02)00270-4
Furman, 2007, Discussion of ‘an actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets’, by Z. Landsman and M. Sherris, North American Actuarial Journal, 11, 5
Gerber, 1974, On additive premium calculation principles, ASTIN Bulletin, 7, 215, 10.1017/S0515036100006061
Gerber, 1981, On the representation of additive principles of premium calculation, Scandinavian Actuarial Journal, 4, 221, 10.1080/03461238.1981.10413743
Goovaerts, 1984
Gründl, 2007, Capital allocation for insurance companies What good is it?, Journal of Risk and Insurance, 74, 301, 10.1111/j.1539-6975.2007.00214.x
Jouini, 2008, Optimal risk sharing for law invariant monetary utility functions, Mathematical Finance, 18, 269, 10.1111/j.1467-9965.2007.00332.x
Kalkbrenner, 2005, An axiomatic approach to capital allocation, Mathematical Finance, 15, 425, 10.1111/j.1467-9965.2005.00227.x
Klöppel, 2007, Dynamic indifference valuation via convex risk measures, Mathematical Finance, 17, 599, 10.1111/j.1467-9965.2007.00317.x
Lemaire, 1984, An application of game theory: Cost allocation, ASTIN Bulletin, 14, 61, 10.1017/S0515036100004815
Marinacci, 2004, A characterization of the core of convex games through Gateaux derivatives, Journal of Economic Theory, 116, 229, 10.1016/S0022-0531(03)00258-8
Mirman, 1982, Demand compatible equitable cost sharing prices, Mathematics of Operations Research, 7, 40, 10.1287/moor.7.1.40
Müller, 2002
Panjer, H.H., 2002, Measurement of risk, solvency requirements and allocation of capital within financial conglomerates. Research Report 01–15. Institute of Insurance & Pension Research, Waterloo
Quiggin, 1982, A theory of anticipated utility, Journal of Economic Behavior and Organization, 3, 323, 10.1016/0167-2681(82)90008-7
Schmeidler, 1969, The nucleolus of a characteristic function game, SIAM Journal of Applied Mathematics, 17, 1163, 10.1137/0117107
Tasche, 2004, Allocating portfolio economic capital to sub-portfolios, 275
Tsanakas, 2003, Risk capital allocation and cooperative pricing of insurance liabilities, Insurance: Mathematics and Economics, 33, 239, 10.1016/S0167-6687(03)00137-9
Tsanakas, 2003, Risk measures and theories of choice, British Actuarial Journal, 9, 959, 10.1017/S1357321700004414
Wang, 1996, Premium calculation by transforming the premium layer density, ASTIN Bulletin, 26, 71, 10.2143/AST.26.1.563234