Optimal capital allocation in a hierarchical corporate structure

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      <subfield code="a">Optimal capital allocation in a hierarchical corporate structure</subfield>
      <subfield code="c">Yaniv Zaks, Andreas Tsanakas</subfield>
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      <subfield code="a">We consider capital allocation in a hierarchical corporate structure where stakeholders at two organizational levels (e.g., board members vs line managers) may have conflicting objectives, preferences, and beliefs about risk. Capital allocation is considered as the solution to an optimization problem whereby a quadratic deviation measure between individual losses (at both levels) and allocated capital amounts is minimized. Thus, this paper generalizes the framework of Dhaene et al. (2012), by allowing potentially diverging risk preferences in a hierarchical structure. An explicit unique solution to this optimization problem is given. In several examples, it is shown how the optimal capital allocation achieves a compromise between conflicting views of risk within the organization.

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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">05/05/2014 Volumen 56 Número 1 - mayo 2014 </subfield>
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