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European Actuarial Journal
Published in: European Actuarial Journal 1/2016

01-07-2016 | Original Research Paper

On a capital allocation by minimization of some risk indicators

Authors: V. Maume-Deschamps, D. Rullière, K. Said

Published in: European Actuarial Journal | Issue 1/2016

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Abstract

European insurance sector will soon be faced with the application of the Solvency 2 regulation norms. It will create a real change in the risk management of insurance practices. The ORSA (Own Risk and Solvency Assessment) approach of the second pillar makes the capital allocation an important exercise for all insurers, especially when it comes to groups. Considering multi-branches firms, a capital allocation has to be based on multivariate risk modeling. Several allocation methods are present in the actuarial literature and insurance practices. In this paper, we focus on a risk allocation method. By minimizing some of the multivariate risk indicators, we study the coherence of the risk allocation using an axiomatic approach. Furthermore, we discuss what can be the best allocation choice for an insurance group.
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Footnotes
1
we recall f is a 1-homogeneous function if for all \(\lambda \in \mathbb {R}\) and \(x\in D_f\), \(f(\lambda x)=\lambda f(x)\).
 
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Metadata
Title
On a capital allocation by minimization of some risk indicators
Authors
V. Maume-Deschamps
D. Rullière
K. Said
Publication date
01-07-2016
Publisher
Springer Berlin Heidelberg
Published in
European Actuarial Journal / Issue 1/2016
Print ISSN: 2190-9733
Electronic ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-016-0123-1

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