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• W3121218430 abstract "Tsanakas and Barnett [Insurance: Mathematics and Economics 33 (2003) 239] employed concepts from cooperative game theory [Aumann and Shapley, Values of Non-Atomic Games. Princeton University Press, Princeton] for the allocation of risk capital to portfolios of pooled liabilities, when distortion risk measures [Insurance: Mathematics and Economics 21 (2) (1997) 173] are used. In this paper we generalise previously obtained results in three directions. Firstly, we allow for the presence of non-linear portfolios. Secondly, based on the concept of correlation order [ASTIN Bulletin 26 (2) (1996) 201] we proceed with discussing the links between dependence structures, capital allocation and pricing, as well as dropping a restrictive assumption on the continuity of probability distributions. Finally, we generalise the capital allocation methodology to a dynamic setting and conclude with a numerical example." @default.
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• W3121218430 date "2004-10-01" @default.
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• W3121218430 title "Dynamic capital allocation with distortion risk measures" @default.
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• W3121218430 doi "https://doi.org/10.1016/j.insmatheco.2003.09.005" @default.
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