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Allocation of Capital in the Insurance Industry

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  • J. David Cummins

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Suggested Citation

  • J. David Cummins, 2000. "Allocation of Capital in the Insurance Industry," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 3(1), pages 7-27, March.
  • Handle: RePEc:bla:rmgtin:v:3:y:2000:i:1:p:7-27
    DOI: j.1540-6296.2000.tb00013.x
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    File URL: http://hdl.handle.net/10.1111/j.1540-6296.2000.tb00013.x
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    Citations

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    Cited by:

    1. Karabey, Uǧur & Kleinow, Torsten & Cairns, Andrew J.G., 2014. "Factor risk quantification in annuity models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 34-45.
    2. G. Christodoulakis & E. Mamatzakis, 2010. "Return attribution analysis of the UK insurance portfolios," Annals of Finance, Springer, vol. 6(3), pages 405-420, July.
    3. Albrecht, Peter, 2003. "Risk based capital allocation," Papers 03-02, Sonderforschungsbreich 504.
    4. Benjamin Lorent, 2006. "Raisons fondamentales d'une régulation prudentielle du secteur des assurances," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 49(3), pages 203-244.
    5. Gildas Ratovomirija, 2015. "Multivariate Stop loss Mixed Erlang Reinsurance risk: Aggregation, Capital allocation and Default risk," Papers 1501.07297, arXiv.org.
    6. Kim, Joseph H.T. & Hardy, Mary R., 2009. "A capital allocation based on a solvency exchange option," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 357-366, June.
    7. repec:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685 is not listed on IDEAS
    8. Kamil J. Mizgier & Joseph M. Pasia, 2016. "Multiobjective optimization of credit capital allocation in financial institutions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 801-817, December.

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