Joint insolvency analysis of a shared MAP risk process : a capital allocation application

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    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20170033172</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20171103132710.0</controlfield>
    <controlfield tag="008">171017e20170605esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
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      <subfield code="a">6</subfield>
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      <subfield code="a">Joint insolvency analysis of a shared MAP risk process</subfield>
      <subfield code="b">: a capital allocation application</subfield>
      <subfield code="c">Jun Cai... [et al.]</subfield>
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    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">In recent years, multivariate insurance risk processes have received increasing attention in risk theory. First-passage-time problems in the context of these insurance risk processes are of primary interest for risk management purposes. In this article we study joint-ruin problems of two risk undertakers in a proportionally shared Markovian claim arrival process. Building on the existing work in the literature, joint-ruinrelated quantities are thoroughly analyzed by capitalizing on existing results in certain univariate insurance surplus processes. Finally, an application is considered where the finite-time and infinite-time joint-ruin probabilities are used as risk measures to allocate risk capital among different business lines. The proposed joint-ruin allocation principle enables us to not only capture the risk dynamics over a given time horizon, but also overcome the cross-subsidizing effect of many existing allocation principles.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080588953</subfield>
      <subfield code="a">Análisis de riesgos</subfield>
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    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080572730</subfield>
      <subfield code="a">Mapa de riesgos</subfield>
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    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">05/06/2017 Tomo 21 Número 2 - 2017 , p. 178-192</subfield>
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