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http://hdl.handle.net/2445/118811
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DC Field | Value | Language |
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dc.contributor.author | Belles Sampera, Jaume | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Santolino, Miguel | - |
dc.date.accessioned | 2017-12-19T14:31:01Z | - |
dc.date.available | 2017-12-19T14:31:01Z | - |
dc.date.issued | 2014-09 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/2445/118811 | - |
dc.description.abstract | GlueVaR risk measures defined by Belles-Sampera et al. (2014) generalize the traditional quantile-based approach to risk measurement, while a subfamily of these risk measures has been shown to satisfy the tail-subadditivity property. In this paper we show how GlueVaR risk measures can be implemented to solve problems of proportional capital allocation. In addition, the classical capital allocation framework suggested by Dhaene et al. (2012) is generalized to allow the application of the Value-at-Risk (VaR) measure in combination with a stand-alone proportional allocation criterion (i.e., to accommodate the Haircut allocation principle). Two new proportional capital allocation principles based on GlueVaR risk measures are defined. An example based on insurance claims data is presented, in which allocation solutions with tail-subadditive risk measures are discussed. | - |
dc.format.extent | 6 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2014.06.014 | - |
dc.relation.ispartof | Insurance Mathematics and Economics, 2014, vol. 58, num. September, p. 132-137 | - |
dc.relation.uri | https://doi.org/10.1016/j.insmatheco.2014.06.014 | - |
dc.rights | (c) Elsevier B.V., 2014 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Assignació de recursos | - |
dc.subject.classification | Capital | - |
dc.subject.other | Risk | - |
dc.subject.other | Resource allocation | - |
dc.subject.other | Capital | - |
dc.title | GlueVaR risk measures in capital allocation applications | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 642224 | - |
dc.date.updated | 2017-12-19T14:31:01Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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642224.pdf | 251.27 kB | Adobe PDF | View/Open |
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