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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. |