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

Assa Hirbod, Morales Manuel and 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 c\`adl\`ag 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 L\'evy 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.

Date: 2013-11
New Economics Papers: this item is included in nep-ias and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.0354

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