MAP20140029112Wang, MinCapital allocation based on the Tail Covariance Premium Adjusted / Min WangSumario: 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 linesEn: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/07/2014 Volumen 57 Número 1 - julio 2014 I. Título.
