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Query: faculty: "FEB" and publication year: "2004"

AuthorsR.J.A. Laeven, M.J. Goovaerts
TitleAn Optimization Approach to the Dynamic Allocation of Economic Capital
JournalInsurance: Mathematics & Economics
Volume35
Year2004
Issue2
Pages299-319
ISSN01676687
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractWe propose an optimization approach to allocating economic capital, distinguishing between an allocation or raising principle and a measure for the risk residual. The approach is applied both at the aggregate (conglomerate) level and at the individual (subsidiary) level and yields an integrated solution to the capital allocation problem. In particular, we formalize a procedure to determine (i) the optimal amount of economic capital to be held by a financial conglomerate, (ii) the optimal allocation of this amount among the subsidiaries and (iii) a consistent distribution of the cost of risk-bearing borne by the conglomerate. Different degrees of information on the dependence structure between the subsidiaries are considered. The results provide a theoretical justification for the use of Value-at-Risk, not as a measure of risk, but as an optimal allocation or raising principle. Static solutions are generalized to a dynamic setting. The approach is illustrated using an example of a financial conglomerate represented by a multivariate Wiener process.
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