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On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory (1311.0354v1)
Published 2 Nov 2013 in q-fin.RM
Abstract: In this paper we introduce a new coherent cumulative risk measure on $\mathcal{R}_Lp$, the space of c`adl`ag processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive L\'evy process. Moreover, we study the problem of capital allocation in an insurance context and we show that the capital allocation problem for this risk measure has a unique solution determined by the Euler allocation method. Some examples are provided.