Dhaene, J.; Laeven, R. J. A.; Vanduffel, S.; Darkiewicz, G. - In: Journal of Risk & Insurance 75 (2008) 2, pp. 365-386
We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall...