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 … that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk …

, riskless allocation, symmetry and suitability for performance measurement (compatibility with Return on Risk Adjusted Capital …Capital allocation is used for many purposes in financial institutions and for this purpose several methods are known … and also on returns generated from a copula. We find that if we measure risk by a coherent risk measure, the Expected …

this new framework to investments in the electricity sector. In particular, a real options model is used to assess the … optimization, where the measure of risk is the Conditional Value-at-Risk (CVaR). …