Centro de Documentación de Fundación MAPFRE

Notas: Sumario: 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.Registros relacionados: En: The Actuary : the magazine of the Institute & Faculty of Actuaries. - London : Redactive Publishing, 2019-. - 01/02/2021 Número 1 - febrero 2021 , p. 20-23Materia / lugar / evento: Asignación de capital Gerencia de riesgos Empresas de seguros Capital riesgo Otras clasificaciones: 7

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Volatile allocations