Volatile allocations

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1001 ‎$0‎MAPA20160009941‎$a‎Boonen, Tim J.
24500‎$a‎Volatile allocations‎$c‎Tim Boonen
520  ‎$a‎Capital 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.
650 4‎$0‎MAPA20150020307‎$a‎Asignación de capital
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080590567‎$a‎Empresas de seguros
650 4‎$0‎MAPA20080568221‎$a‎Capital riesgo
7730 ‎$w‎MAP20200013259‎$t‎The Actuary : the magazine of the Institute & Faculty of Actuaries‎$d‎London : Redactive Publishing, 2019-‎$g‎01/02/2021 Número 1 - febrero 2021 , p. 20-23