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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2005"

AuteursJ.L.M. Dhaene, M.J. Goovaerts, S. Lundin, S. Vanduffel
TitelAggregating economic capital
TijdschriftBelgian Actuarial Bulletin
Jaargang5
Jaar2005
Nummer1
Pagina's14-25
ISSN17845742
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingIn this paper we analyze and evaluate a standard approach financial institutions use to calculate their so-called total economic capital. If we consider a business that faces a total random loss S over a given one-year horizon then economic capital is traditionally defined as the difference between 99.97% percentile of S and its expectation. The standard approach essentially assumes that the different components (risks) of S are multivariate normally distributed and this highly facilitates the computation of the total aggregated economic capital. In this paper we show that this approach also holds for a more general framework which encompasses as a special case the multivariate normal (and elliptical) setting. We question also the assumption of multivariate normality since for many risks one often assumes other than normal distributions (e.g. a lognormal distribution for insurqnce risk). Assuming that risks are either normal or lognormal distributed we propose, using the concept of comonotonicity, an alternative aggregation approach.
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