On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
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.
q-fin.RM↗