Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44
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 …
