Capital allocation based on the Tail Covariance Premium Adjusted

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<dc:creator>Wang, Min</dc:creator>
<dc:date>2014-07-07</dc:date>
<dc:description xml:lang="es">Sumario: 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/148457.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Capital allocation based on the Tail Covariance Premium Adjusted</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/07/2014 Volumen 57 Número 1 - julio 2014 </dc:relation>
</rdf:Description>
</rdf:RDF>