Abstract
This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in the validation criterion and its conditional interpretation. Univariate and multivariate examples are discussed in detail.
| Original language | English |
|---|---|
| Pages (from-to) | 683-707 |
| Number of pages | 25 |
| Journal | Journal of Risk and Insurance |
| Volume | 76 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1 Sept 2009 |
| Externally published | Yes |
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