Economic Capital Allocation Derived from Risk Measures

By Jan Dhaene, Marc J. Goovaerts, Rob Kaas. 2002

204 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/fd2bb69eb7bbe070a06664fc722b2a641b5485e9

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Citations in the corpus

Optimal Capital Allocation Principles (2005, unknown): “A generalisation of the optimisation approach of Dhaene et al. (2003) in a different direction than the one we propose in this paper, may also be found in Laeven and Goovaerts (2004).”
After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “For example, Goovaerts et al. (2003a) suggest that we can sometimes get situations where the QUANTILE-BASED RISK MEASURES 199”
Risk Measures and Theories of Choice (2003, unknown): “More specifically, expected utility theory gives rise to the exponential premium principle, proposed by Gerber (1974), Dhaene et al. (2003), whereas Yaari’s (1987) dual theory of risk can be viewed as the source of the distortion premium principle (Denneberg (1990), Wang (1996)).”
Tail Conditional Variance for Elliptically Contoured Distributions (2004, background): “Hence, it immediately follows that (5) coincides with (4).”
To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007, unknown): “While there are some studies of capital allocation using convex risk measures (see e.g. Dhaene et al. (2003) and, in a ﬁnance setting, Filipovi´c and Kupper (2006)), most of current research on convex risk measures is not in that context.”
Distortion Risk Measures and Economic Capital (2004, background): “Recent criticism on the use of coherent risk measures is also found in the papers by Föllmer and Schied (2002), Dhaene et al. (2003), Tsanakas and Desli (2003), and Darkiewicz et al. (2003).”
Weighted Risk Capital Allocations (2008, unknown): “... we only briefly note that while desirable properties of risk measures have been extensively studied in the literature for a long time (see, e.g., Goovaerts et al. (1984), Artzner et al. (1999), Denuit et al. (2005), Dhaene et al. (2006); and references therein), properties of allocations have on”
Weighted Pricing Functionals With Applications to Insurance (2009, background): “…it has been actively developing during the last decade, especially in the context of allocations (see, e.g., Denault 2001; Hesselager and Andersson 2002; Dhaene et al. 2003; Goovaerts et al. 2003; Venter 2004; Kalkbrener 2005; Venter et al. 2006; Kim 2007; Meucci 2007; Pflug and Römisch 2007).”