Capital allocation is an essential task for risk pricing and performance measurement of
insurance business lines. This paper provides a survey of existing capital allocation …

This paper employs Bourdieu's theory of capital—focusing on family cultural, social, and
economic capital—to research the early-stage mechanism through which access to higher …

Two natural and potentially useful properties for capital allocation rules are top-down
consistency and shrinking independence. Top-down consistency means that the total capital …

In this paper we discuss the concept of the cost‐of‐capital (CoC) rate for an insurance
company as an equilibrium in the economic triangle of policyholders, shareholders, and the …

Stochastic claims reserving models are used to generate projections for future cash flows in
general insurance, and capital allocation models are used to allocate costly enterprise risk …

This chapter starts by applying classical financial theory to the problem of insurance pricing.
It proceeds by relaxing the classical assumptions of complete and frictionless markets and …

Traditional static capital allocation incurs significant reallocation costs over periods due to
drastic fluctuations. We propose a new framework for dynamic capital allocation with time …

The research aimed to estimate the fair value of the risk margin paid by policyholders, and to
examine the significance of its balanced relationship with the rate of return on the cost of risk …

Classical regulatory rules for capital allocation of long-tailed insurance risks do not ask
insurance companies to hold solvency capital early in the process. However, this may …

Assessing time-related risks in long-tailed insurance is challenging. Regulatory capital
allocation rules may underestimate credit deterioration risk by not requiring insurers to hold …