Joint insolvency analysis of a shared MAP risk process : a capital allocation application

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:date>2017-06-05</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/162098.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Análisis de riesgos</dc:subject>
<dc:subject xml:lang="es">Mapa de riesgos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Joint insolvency analysis of a shared MAP risk process : a capital allocation application</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/06/2017 Tomo 21 Número 2 - 2017 , p. 178-192</dc:relation>
</rdf:Description>
</rdf:RDF>