Optimal capital allocations to interdependent actuarial risks

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<title>Optimal capital allocations to interdependent actuarial risks</title>
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<namePart>You, Yinping</namePart>
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<abstract displayLabel="Summary">This paper further studies the capital allocation concerning mutually interdependent random risks. In the context of exchangeable random risks, we establish that risk-averse insurers incline to evenly distribute the total capital among multiple risks. For risk-averse insurers with decreasing convex loss functions, we prove that more capital should be allocated to the risk with the larger reversed hazard rate when risks are coupled by an Archimedean copula. Also, sufficient conditions are developed to exclude the worst capital allocations for random risks with some specific Archimedean copulas.</abstract>
<note type="statement of responsibility">Yinping You, Xiaohu Li</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>07/07/2014 Volumen 57 Número 1 - julio 2014 </text>
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