Colección: ArtículosTítulo: Capital allocation based on the Tail Covariance Premium Adjusted / Min WangAutor: Wang, MinNotas: 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 07/07/2014 Volumen 57 Número 1 - julio 2014 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
