Capital allocation based on the Tail Covariance Premium Adjusted

MARC record
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001  MAP20140029112
003  MAP
005  20140826121631.0
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20140013449‎$a‎Wang, Min
24510‎$a‎Capital allocation based on the Tail Covariance Premium Adjusted‎$c‎Min Wang
520  ‎$a‎The current Solvency II process makes risk capital allocation to different business lines more and more important. This paper considers two business lines with the exponential loss distributions linked by a FarlieGumbelMorgenstern (FGM) copula, modelling the dependence between them. As an allocation principle we use the Tail Covariance Premium Adjusted and obtain expressions for the allocation to the two business lines.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎07/07/2014 Volumen 57 Número 1 - julio 2014
856  ‎$y‎MÁS INFORMACIÓN‎$u‎