The optimal asset and liability portfolio for a financial institution with multiple lines of businesses
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s13385-013-0067-7.pdf
Reference17 articles.
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3. Cummins JD(2000) Allocation of capital in the insurance industry. Risk Manag Insur Rev 3(1):7–27
4. Denault M (2001) Coherent allocation of risk capital. J Risk 4(1):1–34
5. Dhaene J, Tsanakas A, Valdez EA, Vanduffel S (2012) Optimal capital allocation principles. J Risk Insur 79(1):1–28
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3. Optimal capital allocation in a hierarchical corporate structure;Insurance: Mathematics and Economics;2014-05
4. Optimal Capital Allocation in a Hierarchical Corporate Structure;SSRN Electronic Journal;2013
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