| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20140029112 |
| 003 | | | MAP |
| 005 | | | 20140826121631.0 |
| 008 | | | 140814e20140707esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 100 | 1 | | $0MAPA20140013449$aWang, Min |
| 245 | 1 | 0 | $aCapital allocation based on the Tail Covariance Premium Adjusted$cMin Wang |
| 520 | | | $aThe current Solvency II process makes risk capital allocation to different business lines more and more important. This paper considers two business lines with the exponential loss distributions linked by a FarlieGumbelMorgenstern (FGM) copula, modelling the dependence between them. As an allocation principle we use the Tail Covariance Premium Adjusted and obtain expressions for the allocation to the two business lines. |
| 773 | 0 | | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g07/07/2014 Volumen 57 Número 1 - julio 2014 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
