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Capital Allocation in Insurance: Economic Capital and the Allocation of the Default Option Value
(L (T )− V (T ))+ Equity S +D h V (T )− L (T ) + (L (T )− V (T ))+ i Table 1: Total Insurer Economic ... (T )− Li (T ) + Li (T ) µ 1− V (T )L(T ) ¶+# Table 2: Internal Balance Sheet for Line of Business i ...- Authors: Michael Sherris, John van der Hoek
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Economic capital; Finance & Investments>Investment strategy - Finance & Investments