Contribution values for allocation of risk capital and for premium calculation

Dieter Denneberg, Allemagne

A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to it’s components. The well known allocation model with expected shortfall as corresponding risk value is a prominent member of this class. Our contribution values also apply to premium calculation within a portfolio of dependent (re-)insurance contracts.
Date: 30 May - Time: 8:30 to 10:00 - Room: 251
Theme: 1.A. Stochastic dependence