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  1. 1. Analysis and comparison of capital allocation techniques in an insurance context

    Master-uppsats, KTH/Matematisk statistik

    Författare :Héloïse de Sauvage Vercour; [2013]
    Nyckelord :Insurer balance sheet; Capital allocation; Surplus; Diversification; Value-at-Risk; Option pricing theory; Capital Asset Pricing Model; Marginal capital allocation; Default value.;

    Sammanfattning : Companiesissuing insurance cover, in return for insurance premiums, face the payments ofclaims occurring according to a loss distribution. Hence, capital must be heldby the companies so that they can guarantee the fulfilment of the claims ofeach line of insurance. LÄS MER