Research on Capital Allocation Based on Markowitz Model

mortality forecasting based on lee-carter model

over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...

Risk Based Capital Allocation

An Analysis the Effect of Capital Taxation on Allocation of Resources: A Dynamic Equilibrium Model Approach

Abstract T he return of capital is fundamental to the intertemporal allocation of resources by changing the consumption behavior and capital accumulation over time. Taxation on return of capital increases the marginal product of capital, meaning that capital stock is lower than when capital is not taxed, which results decreased growth and welfare in steady state. This pape...

A capital allocation based on a solvency exchange option

In this paper we propose a new capital allocation method based on the idea of Sherris (2006). The proposed method explicitly accommodates the notion of limited liability of the shareholders and can further decompose the allocated capital, so that each stakeholder can have a clearer understanding of their contribution. We also challenge the no undercut principle, one of the widely accepted alloc...

Some results on the CTE based capital allocation rule

Tasche (1999) introduces a capital allocation principle where the capital allocated to each risk unit can be expressed in terms of its contribution to the conditional tail expectation (CTE) of the aggregate risk. Panjer (2002) derives a closed-form expression for this allocation rule in the multivariate normal case. Landsman & Valdez (2003) generalise Panjer’s result to the class of multivariat...