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

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<title>Joint insolvency analysis of a shared MAP risk process</title>
<subTitle>: a capital allocation application</subTitle>
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<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2017</dateIssued>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Jun Cai... [et al.]</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080588953">
<topic>Análisis de riesgos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080572730">
<topic>Mapa de riesgos</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>05/06/2017 Tomo 21 Número 2 - 2017 , p. 178-192</text>
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