منابع مشابه
TVaR-based capital allocation with copulas
Because of regulation projects from control organizations such as the European solvency II reform and recent economic events, insurance companies need to consolidate their capital reserve with coherent amounts allocated to the whole company and to each line of business. The present study considers an insurance portfolio consisting of several lines of risk which are linked by a copula and aims t...
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Evaluating capital requirements as well as allocating total capital into various business units are becoming increasingly important part of the risk management process of a financial enterprise. In the allocation of capital, we consider the purpose of capital allocation within a company (individual, collective, or market-relative), the manner in which the portfolios within the conglomerate can ...
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ژورنال
عنوان ژورنال: Hacettepe Journal of Mathematics and Statistics
سال: 2017
ISSN: 1303-5010
DOI: 10.15672/hjms.20174620776