Volatile allocations

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<titleInfo>
<title>Volatile allocations</title>
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<namePart>Boonen, Tim J.</namePart>
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<abstract>Capital allocation is an important tool for the quantitative risk management of insurers, banks or other financial institutions. In the academic literature, one solution to this problem has gained predominance: the Euler rule. In this article, I show some pitfalls of this allocation rule and introduce an alternative: the t-risk capital allocation rule.</abstract>
<note type="statement of responsibility">Tim Boonen</note>
<subject>
<topic>Asignación de capital</topic>
</subject>
<subject>
<topic>Gerencia de riesgos</topic>
</subject>
<subject>
<topic>Empresas de seguros</topic>
</subject>
<subject>
<topic>Capital riesgo</topic>
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<title>The Actuary : the magazine of the Institute & Faculty of Actuaries</title>
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<publisher>London : Redactive Publishing, 2019-</publisher>
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<identifier type="local">MAP20200013259</identifier>
<part>
<text>01/02/2021 Número 1 - febrero 2021 , p. 20-23</text>
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