On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
Risk Management
2013-11-05 v1
Abstract
In this paper we introduce a new coherent cumulative risk measure on , the space of c\`adl\`ag processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive L\'evy process. Moreover, we study the problem of capital allocation in an insurance context and we show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples are provided.
Keywords
Cite
@article{arxiv.1311.0354,
title = {On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory},
author = {Assa Hirbod and Morales Manuel and Omidi Firouzi Hassan},
journal= {arXiv preprint arXiv:1311.0354},
year = {2013}
}