CAPITAL ALLOCATION FOR INSURANCE COMPANIES

By S. Myers, J. Read. 2001

302 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fe65602bacda4984d854ea2e8e166ec1ed243668

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Zhongyi Yuan
2. Qihe Tang
3. Dirk Tasche
4. George Zanjani
5. Dingcheng Wang
6. Yiqing Chen
7. Jostein Paulsen
8. Alexandru V. Asimit

In Economics and Econometrics

1. P. Lechner
2. Zhongyi Yuan
3. Nadine Gatzert
4. Qihe Tang
5. Dirk Tasche
6. George Zanjani
7. Michael Kalkbrener
8. Dingcheng Wang

In Finance

1. Zhongyi Yuan
2. Nadine Gatzert
3. Qihe Tang
4. Dirk Tasche
5. George Zanjani
6. Yiqing Chen
7. Dingcheng Wang
8. Kai Wang Ng

Citations in the corpus

• Wang’s capital allocation formula for elliptically contoured distributions (2003, unknown): “Theorem 7 Let X ∼En (μ,Σ,gn) and assume conditions (15) and |ψ0 (0)| < ∞ hold.”
• Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007, background): “• In the context of capital allocation for insurance companies, Myers and Read (2001) argued that applying the Euler principle to the expected “default value” (essentially E[max(X, 0)]) of the insurance portfolio is most appropriate for deriving line-by-line surplus requirements.”
• Determinants and value of enterprise risk management: empirical evidence from Germany (2017, background): “In particular, firms with an ERM system are assumed to better be able tomake proper economic decisions, thus tending to invest inmore valuable net present value projects (see Myers and Read 2001).”
• Optimal Capital Allocation Principles (2005, unknown): “In the particular case that K = CTEp [S], formula (18) reduces to the allocation suggested by Overbeck (2000) and Denault (2001).”
• Randomly weighted sums of subexponential random variables with application to capital allocation (2014, methodology): “For more details and economic justifications of Euler’s principle, we refer the reader to Myers and Read (2001), McNeil et al. (2005) and Dhaene et al. (2012), among others.”
• Pricing and capital allocation in catastrophe insurance (2002, background): “Myers and Read (2001) offer a capital allocation rule based on a default insurance concept.”
• The Valuation Implications of Enterprise Risk Management Maturity (2015, unknown): “As a key component of ERM is the examination of the risk interactions and their aggregation it is therefore posited that ERM improves internal decision making and hence ultimately contributes to firm value through more efficient capital allocation (Myers and Read, 2001).”