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arXiv · 1311.0354

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

Assa Hirbod·Morales Manuel·Omidi Firouzi Hassan
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Abstract

In this paper we introduce a new coherent cumulative risk measure on $\mathcal{R}_L^p$, the space of càdlàg processes having Laplace transform. 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. Moreover, we study the problem of capital allocation in an insurance context and we show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples are provided.

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Assa Hirbod, Morales Manuel, Omidi Firouzi Hassan. 2013-11-02. On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory. https://arxiv.org/abs/1311.0354

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