on the capital allocation problem for a new coherent risk measure in collective risk theory

Clicks: 136
ID: 159467
2016
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Abstract
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdlàg processes. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive Lévy process. We focus our motivation and discussion on the problem of capital allocation. Indeed, this risk measure is well-suited to address the problem of capital allocation in an insurance context. We show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples and connections with existing results as well as practical implications are also discussed.
Reference Key
assa2016riskson Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Hirbod Assa;Manuel Morales;Hassan Omidi Firouzi
Journal world neurosurgery
Year 2016
DOI
10.3390/risks4030030
URL
http://www.mdpi.com/2227-9091/4/3/30
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