Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne - In: Insurance: Mathematics and Economics 50 (2012) 2, pp. 247-256
In this paper, we consider a portfolio of n dependent risks X1,…,Xn and we study the stochastic behavior of the aggregate claim amount S=X1+⋯+Xn. Our objective is to determine the amount of economic capital needed for the whole portfolio and to compute the amount of capital to be allocated...