Allocation of risk capital to insurance portfolios

Urban, Michael; Dittrich, Jörg; Klüppelberg, Claudia; Stölting, Rolf

doi:10.1007/bf02808388

Cited by 17 publications

(16 citation statements)

References 8 publications

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“…Brunnermeier and Oehmke (2013) review various allocation rules. The proportional rule allocates risk according to an institution's individual risk divided by the sum of all institutions' individual risk (Urban et al, 2003). Standard margin methodologies allocate risk this way.…”

Section: Introductionmentioning

confidence: 99%

Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties

Menkveld

2014

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Standard risk management strategies at CCPs currently overlook a risk associated with crowded trades. This paper identifies it, measures it, and proposes a margin methodology that accounts for it. The application to actual CCP data illustrates that this hidden risk can become large, in particular at times of high CCP risk. Terms of use: Documents in

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Section: Introductionmentioning

confidence: 99%

Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties

Menkveld

2014

SSRN Journal

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“…Two risk (capital) measures that have found their way into the Solvency II discussion are the Value at Risk and the Tail Value at risk. They have for instance been discussed in [12]: Definition 4.1 For X 2 L the following risk measures for a confidence level a 2 ½0; 1 are defined in case they exist finitely:…”

Section: The Risk Cost Modelmentioning

confidence: 99%

An integrated Cost of Risk model and its application to company valuation

Baier¹

2011

Eur. Actuar. J.

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This paper proposes an integrated approach of measuring risk and the associated cost. The model is developed from the simple practical example of a bond spread and then generalized. This leads to a class which encompasses spectral risk measures and hence includes the popular measures Value at Risk and Tail Value at Risk and under certain conditions is coherent. The defining equations lead to a ''natural'' decomposition by sub portfolio under practical conditions. In an application section market data is used to parametrize the measure and evaluate the capital cost of an example company.

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“…For an overview of several methods to tackle the problem of capital allocation in the insurance framework we refer to [11] or [12]. Moreover, in [13], a comparison of different combinations of risk measures and allocation methods can be found. For more recent references providing a good literature review on the problem, we refer to [7,14].…”

Section: Literature Reviewmentioning

confidence: 99%

On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

Assa

Morales

Firouzi

2016

Risks

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Abstract:In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdlàg processes. 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 Lévy process. We focus our motivation and discussion on the problem of capital allocation. Indeed, this risk measure is well-suited to address the problem of capital allocation in an insurance context. We show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples and connections with existing results as well as practical implications are also discussed.

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Allocation of risk capital to insurance portfolios

Cited by 17 publications

References 8 publications

Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties

Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties

An integrated Cost of Risk model and its application to company valuation

On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

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