Contribution values for allocation of risk capital and for premium calculation

A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also apply to premium calculation within a portfolio of dependent (re-)insurance contracts.

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Year of publication:	2005-10-15
Authors:	Denneberg, Dieter ; Maass, Sebastian
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Risikomanagement \| risk management \| Risikomaß \| Versicherungsprämie

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Extent:	239616 bytes 18 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 263 (2005)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858735