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arXiv · 1506.04125

A risk management approach to capital allocation

Véronique Maume-Deschamps·Didier Rullière·Khalil Said
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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.

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Véronique Maume-Deschamps, Didier Rullière, Khalil Said. 2015-06-12. A risk management approach to capital allocation. https://arxiv.org/abs/1506.04125

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