My bibliography  Save this paper

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

## Author

Listed:
• Assa Hirbod
• Morales Manuel
• Omidi Firouzi Hassan

## 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.

## Suggested Citation

• Assa Hirbod & Morales Manuel & Omidi Firouzi Hassan, 2013. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Papers 1311.0354, arXiv.org.
• Handle: RePEc:arx:papers:1311.0354
as

File URL: http://arxiv.org/pdf/1311.0354

## References listed on IDEAS

as
1. Michael Kalkbrener, 2009. "An axiomatic characterization of capital allocations of coherent risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 961-965.
2. Fischer, T., 2003. "Risk capital allocation by coherent risk measures based on one-sided moments," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 135-146, February.
3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
Full references (including those not matched with items on IDEAS)

### NEP fields

This paper has been announced in the following NEP Reports:

## Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1311.0354. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.