지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2014.1
- 수록면
- 157 - 190 (34page)
이용수
초록· 키워드
오류제보하기
The science of capital allocation has made significant advances. Yet there is limited theoretical guidance for the selection of risk measure which is consistent with value maximisation frame. Different firms and regulations use different risk measures and there is no clear agreement on the appropriate risk measure. Risk measures vary for different risks, different lines of business, products and divisions. For insurer price of risk should vary with the type of risk under consideration, yet most risk based capital approaches implicitly use a common pricing method of risk based on a firm wide expected cost of capital. Developments in capital allocation of risk capital for solvency and by-line pricing provide new insights. This paper highlights the importance of risk measure and discusses the importance of the insolvency default option value, which is linked to the concept of credit default swap. It also discusses allocation by line and fair pricing, frictional costs and market imperfections in addition to issues of risk based capital in a value maximizing framework.
목차
등록된 정보가 없습니다.
참고문헌 (22)
참고문헌 신청
Chandra, V. / 2007 / Capital Management and Frictional Costs in Insurance / Australian Actuarial Journal 12 (4)
Cummins, J. David / 1997 / Price, Financial Quality, and Capital Flows in Insurance Markets / Journal of Financial Intermediation 6 : 3 ~ 38
Cummins, J. David / 2000 / Allocation of Capital in the Insurance Industry / ’Risk Management and Insurance Review 3 : 7 ~ 28
Cummins, J. David / 2005 / Estimating the Cost of Equity Capital for Property-Liability Insurers / Journal of Risk and Insurance 72 (3) : 441 ~ 478
Cummins, J. David / 2006 / Capital Allocation and the Pricing of Financially Intermediated Risks: An Empirical Investigation
Cummins, J. David / 1997 / Price, Financial Quality, and Capital Flows in Insurance Markets / Journal of Financial Intermediation 6 : 3 ~ 38
Cummins, J. David / 2000 / Allocation of Capital in the Insurance Industry / ’Risk Management and Insurance Review 3 : 7 ~ 28
Cummins, J. David / 2005 / Estimating the Cost of Equity Capital for Property-Liability Insurers / Journal of Risk and Insurance 72 (3) : 441 ~ 478
Cummins, J. David / 2006 / Capital Allocation and the Pricing of Financially Intermediated Risks: An Empirical Investigation
이 논문의 저자 정보
최근 본 자료
댓글(0)
0