Volatile allocations

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<subfield code="c">Tim Boonen</subfield>
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<subfield code="a">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.</subfield>
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<subfield code="t">The Actuary : the magazine of the Institute & Faculty of Actuaries</subfield>
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<subfield code="g">01/02/2021 Número 1 - febrero 2021 , p. 20-23</subfield>
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