A risk management approach to capital allocation

V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
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V\'eronique Maume-Deschamps: ICJ
Didier Rulli\`ere: SAF
Khalil Said: SAF
Authors registered in the RePEc Author Service: Didier Rulliere ()

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Abstract: The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an important exercise for all insurers and specially for groups. Considering multi-branches firms, capital allocation has to be based on a multivariate risk modeling. Several allocation methods are present in the literature and insurers practices. In this paper, we present a new risk allocation method, we study its coherence using an axiomatic approach, and we try to define what the best allocation choice for an insurance group is.

Date: 2015-06
New Economics Papers: this item is included in nep-rmg
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http://arxiv.org/pdf/1506.04125 Latest version (application/pdf)

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Working Paper: A risk management approach to capital allocation (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1506.04125

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