English, Article, Journal or magazine article edition: Risk Based Capital Allocation Albrecht, Peter

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Bookmark: http://trove.nla.gov.au/version/43354
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Risk Based Capital Allocation
Author
  • Albrecht, Peter
Physical Description
  • preprint
Notes
  • The present contribution reviews the procedures (absolute, incremental and marginal capital allocation) as well as the general principles (proportional allocation, covariance-principle, conditional expectation-principle, conditional value-at-risk principle, Euler-principle) for risk based capital allocation. The approaches discussed are applicable for the insurance case, the investment case and as well for credit risks.
  • RePEc:xrs:sfbmaa:03-02
Language
  • English
Contributed by
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