2015/06/12 by Véronique Maume‐Deschamps, Véronique Maume-Deschamps, Didier Rullière +4 · 1 citation
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Applications (stat.AP) #Banking stability, regulation, efficiency #Capital Investment and Risk Analysis #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Insurance and Financial Risk Management #Probability (math.PR) #Probability and Risk Models #Public-Private Partnership Projects #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #math.PR #q-fin.RM #stat.AP
paper · pdf · doi:10.48550/arxiv.1506.04125
arxiv created 2015/06/12 · openalex publication_date 2015/06/12 · arxiv updated 2015/06/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an important exercise for all insurers and specially for groups. Considering multi-branches firms, capital allocation has to be based on a multivariate risk modeling. Several allocation methods are present in the literature and insurers practices. In this paper, we present a new risk allocation method, we study its coherence using an axiomatic approach, and we try to define what the best allocation choice for an insurance group is.