On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level
AbstractThe goal of this short communication is to give an overview of the key research issues in Enterprise Risk Management that arose during the talks and the brainstorming session of the first ERMII research workshop, which was held at ISFA, University of Lyon in June 2007. To define and compute economic capital at group level, fundamental problems related for example to value creation, correlation and capital allocation are stated. The ideas gathered in this paper are not directly ours, we just collected and summarized the ones that arose during the workshop.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00268841.
Date of creation: 2008
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Publication status: Published, Bulletin Français d'Actuariat, 2008, 15, 9, 32-37
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- Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print, HAL hal-00403662, HAL.
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