Capital allocation based on the Tail Covariance Premium Adjusted

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      <subfield code="a">Wang, Min</subfield>
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      <subfield code="a">Capital allocation based on the Tail Covariance Premium Adjusted</subfield>
      <subfield code="c">Min Wang</subfield>
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      <subfield code="a">The 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.</subfield>
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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">07/07/2014 Volumen 57 Número 1 - julio 2014 </subfield>
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      <subfield code="y">MÁS INFORMACIÓN</subfield>
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