Volatile allocations

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Collection: Articles
Title: Volatile allocations / Tim Boonen
Author: Boonen, Tim J.
Notes: Sumario: 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.
Related records: En: The Actuary : the magazine of the Institute & Faculty of Actuaries. - London : Redactive Publishing, 2019-. - 01/02/2021 Número 1 - febrero 2021 , p. 20-23
Materia / lugar / evento: Asignación de capital Gerencia de riesgos Empresas de seguros Capital riesgo
Other categories: 7
Rights: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
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