This paper introduces a flexible risk decomposition method for life insurance contracts
embedding several risk factors. Hedging can be naturally embedded in the framework …

Risk capital allocations (RCAs) are an important tool in quantitative risk management, where
they are utilized to, eg, gauge the profitability of distinct business units, determine the price …

Purpose This paper analyses and benchmarks the performance of the general and health
Insurance companies in India, considering their production, capital allocation and …

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 …

Risk capital allocations are of central importance in performance measurement. A popular
solution concept in the academic literature is the Euler rule. This paper studies the volatility …

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 …

Bank regulators in different countries have responded variedly to failures of digital
technologies and systems in banks under their jurisdiction. Some have prescribed higher …

Under minimal assumptions, we prove that an empirical estimator of the tail conditional
allocation (TCA), also known as the marginal expected shortfall, is consistent. Examples are …

The covariance allocation principle is one of the most widely used capital allocation
principles in practice. Risks change over time, so capital risk allocations should be time …

The objective of this document is to analyze different methods that an insurer can use to
allocate capital to his or her different lines of business or business segments under Solvency …