Centro de Documentacion de Fundación MAPFRE - Joint insolvency analysis of a shared MAP risk process : a capital allocation application

Notas: Sumario: In recent years, multivariate insurance risk processes have received increasing attention in risk theory. First-passage-time problems in the context of these insurance risk processes are of primary interest for risk management purposes. In this article we study joint-ruin problems of two risk undertakers in a proportionally shared Markovian claim arrival process. Building on the existing work in the literature, joint-ruinrelated quantities are thoroughly analyzed by capitalizing on existing results in certain univariate insurance surplus processes. Finally, an application is considered where the finite-time and infinite-time joint-ruin probabilities are used as risk measures to allocate risk capital among different business lines. The proposed joint-ruin allocation principle enables us to not only capture the risk dynamics over a given time horizon, but also overcome the cross-subsidizing effect of many existing allocation principles.Registros relacionados: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/06/2017 Tomo 21 Número 2 - 2017 , p. 178-192Materia / lugar / evento: Análisis de riesgos Mapa de riesgos Otras clasificaciones: 6

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