The literature on capital allocation is biased towards an asset modeling framework rather than an actuarial framework … should be based on a Lévy process. It discusses the impact of different loss models on marginal capital allocations. It shows …

a financial institution's economic capital. Based on a numerical simulation model, we provide concrete examples of how … granularity affects capital levels. We achieve this by following two simulation approaches, including a dynamic setup as a more … estimated amount of capital and account for it in their pricing. …

other allocators of capital, selection of managers who would provide excess return, is a key component of how they seek to … successful managers grow, their performance diminishes, creating the need for capital allocators to “do it over again”. We …