2009-06-01, English, Article, Journal or magazine article edition: A capital allocation based on a solvency exchange option. Kim, Joseph H.T.; Hardy, Mary R.

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Physical Description
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2009 June
Language
  • English

Edition details

Title
  • A capital allocation based on a solvency exchange option.
Appears In
  • Insurance: Mathematics &​ Economics, v.44, no.3, 2009 June, p.357(10) (ISSN: 0167-6687)
Author
  • Kim, Joseph H.T.
  • Hardy, Mary R.
Published
  • Elsevier B.V., 2009 June
Physical Description
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To link to full-text access for this article, visit this link: http:/​/​dx.doi.org/​10.1016/​j.insmatheco.2008.11.006 Byline: Joseph H.T. Kim, Mary R. Hardy Abstract: In this paper we propose a new capital allocation method based on an idea of [Sherris, M., 2006. Solvency, capital allocation and fair rate of return in insurance. J. Risk Insurance 73 (1), 71-96]. The proposed method explicitly accommodates the notion of limited liability of the shareholders. We show how the allocated capital can be decomposed, so that each stakeholder can have a clearer understanding of their contribution. We also challenge the no undercut principle, one of the widely accepted allocation axioms, and assert that this axiom is merely a property that certain allocation methods may or may not meet. Author Affiliation: Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON N2L 3G1, Canada Article History: Received 29 February 2008; Revised 5 November 2008; Accepted 7 November 2008
Terms of Use
  • COPYRIGHT 2009 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 198552021

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