MEASUREMENT OF RISK, SOLVENCY REQUIREMENTS AND ALLOCATION OF CAPITAL WITHIN FINANCIAL CONGLOMERATES

By H. Panjer, Hon. F.I.A.. 2002

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View Paper: https://www.semanticscholar.org/paper/c7170397e959c94aea81c82a0ec179979fe2c792

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Citations in the corpus

Weighted Pricing Functionals With Applications to Insurance (2009, background): “For details on the topic, see Panjer and Jing (2001), Panjer (2002), Landsman and Valdez (2005), Cai and Li (2005), Chiragiev and Landsman (2007), Furman and Landsman (2008), Vernic (2008), Dhaene et al. (2008), and Furman and Zitikis (2008b), and references therein.”
TVaR-based capital allocation with copulas (2009, background): “The ﬁrst multivariate top down model was considered by Panjer (2002) where the risks have a multivariate normal distribution.”
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2012, methodology): “…each risk using the TVaR-based allocation rule for some specific multivariate distributions for (X1, . . . , Xn): multivariate normal distribution (Panjer, 2002), multivariate elliptical distribution (Landsman and Valdez, 2003 and Dhaene et al., 2008), multivariate gamma distribution (Furman and…”
Tail Conditional Variance for Elliptically Contoured Distributions (2004, background): “1 Multivariate Normal Distributions A vector X belongs to the multivariate Normal family with the density generator g (u) = e−u (17) that does not depend on the dimension n.”
Tail Conditional Expectations for Elliptical Distributions (2003, background): “(19) Now suppose g (x) is a non-negative function on [0,∞) satisfying the condition that Z ∞”
Multivariate Tweedie distributions and some related capital-at-risk analyses (2010, unknown): “, n (cf., e.g. Denault, 2001; Panjer, 2002; Wang, 2002).”
Skewed distributions in finance and actuarial science: a review (2015, background): “Panjer (2002) studies the multivariate normal, Valdez and Chernih (2003) the multivariate elliptical, Furman and Landsman (2005) a multivariate gamma, Landsman and Valdez (2005) exponential dispersion models, Chiragiev and Landsman (2007) a multivariate Pareto distribution, and Dhaene et al. (2008)…”
Wang’s capital allocation formula for elliptically contoured distributions (2003, methodology): “Finally, an example is given using the data in Panjer (2002).”
Tail Conditional Expectations for Exponential Dispersion Models (2005, background): “…( − ) ´ 1− Φ ³√ ( − ) ´ Reparameterizing back to and "2, we find from (15) that the TCE for the Normal distribution gives ( ) = + 1 √ & ³√ ( − ) ´ 1− Φ ³√ ( − ) ´ = + (1 ")& [( − ) "] 1− Φ [( − ) "] " 2 (19) This gives the same formula as that derived in Panjer (2002) and Landsman and Valdez…”
Risk Measures and Comonotonicity: A Review (2006, unknown): “[2], Wirch and Hardy[37], Panjer[23], Dhaene et al.”
Weighted Risk Capital Allocations (2008, unknown): “For results, which are mainly related to TCEtype capital allocations, we refer to Hurlimann (2001), Panjer and Jing (2001), Panjer (2002) , Landsman and Valdez (2003), Cai and Li (2005), Furman and Landsman (2005, 2007), Chiragiev and Landsman (2007), Vernic (2008) and Dhaene et al. (2008a,b), and ”
After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “For more on capital allocation and risk budgeting, see also Panjer (2002) , Fischer (2003), Tsanakas (2004), or Dowd (2005a, ch. 13).”
Optimal Capital Allocation Principles (2005, unknown): “Panjer (2001) considers the particular case of multivariate normally distributed risks and provides an explicit expression of marginal cost based allocations, when the risk measure used is Tail Value-at-Risk (TVaR).”
Entropic Value-at-Risk: A New Coherent Risk Measure (2012, background): “Panjer [21] defined coherent risk measures in a similar way to [4].”