A risk management approach to capital allocation
Risk Management
2015-06-15 v1 Probability
Applications
Abstract
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an important exercise for all insurers and specially for groups. Considering multi-branches firms, capital allocation has to be based on a multivariate risk modeling. Several allocation methods are present in the literature and insurers practices. In this paper, we present a new risk allocation method, we study its coherence using an axiomatic approach, and we try to define what the best allocation choice for an insurance group is.
Keywords
Cite
@article{arxiv.1506.04125,
title = {A risk management approach to capital allocation},
author = {Véronique Maume-Deschamps and Didier Rullière and Khalil Said},
journal= {arXiv preprint arXiv:1506.04125},
year = {2015}
}