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Document Details :

Title: Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks
Author(s): FURMAN, Edward , LANDSMAN, Zinoviy
Journal: ASTIN Bulletin
Volume: 38    Issue: 2   Date: November 2008   
Pages: 601-619
DOI: 10.2143/AST.38.2.2033355

Abstract :
In this paper we explore the problem of economic capital allocations in the context of non-negative multivariate (insurance) risks possessing a dependence structure. We derive a general result and illustrate it with a number of useful examples. One such example, for instance, develops explicit expressions for the discussed economic capital decomposition rule when the underlying portfolio consists of dependent compound Poisson risks.