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• W2972728942 abstract "Modern regulatory capital standards, such as the Solvency II standard formula, employ a correlation based approach for risk aggregation. The so-called uses correlation parameters between, for example, market risk, non-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies will allocate the required capital back to business segments and risk drivers. We demonstrate that capital allocations based on the square-root formula can substantially differ from those based on the true risk distribution if correlations are viewed as Pearson or tail correlations. An EVA-maximizing insurer receives misleading steering signals which can induce mispricing of risk and a default probability substantially above the desired level. To make the square-root formula feasible for business steering, we propose partial-derivative-implied correlations which reflect how marginal exposure changes impact the aggregate capital requirement. We show that the square-root formula in combination with partial-derivative-implied correlations provides capital allocations in line with the true risk distribution." @default.
• W2972728942 created "2019-09-19" @default.
• W2972728942 creator A5008201530 @default.
• W2972728942 creator A5045671623 @default.
• W2972728942 date "2019-01-01" @default.
• W2972728942 modified "2023-09-27" @default.
• W2972728942 title "Making the square-root formula compatible with capital allocation" @default.
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• W2972728942 hasPublicationYear "2019" @default.
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