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Applications of axiomatic capital allocation and generalized weighted allocation. (English) Zbl 1240.91182
Summary: Applications of two kinds of capital allocation principles are studied: one is axiomatic allocation which is known, and the other is generalized weighted allocation. Firstly, several known risk measures are listed. Based on an axiomatic method, allocation formulae with respect to these risk measures are given. Then in view of a specific numerical model, its allocation results are calculated. Secondly, generalized weighted allocation, which is an extension of weighted allocation, is considered. A method for comparing the amounts of generalized weighted capital allocations under two different aggregate losses, which stems from the diversifying property, is mainly discussed. Some special examples are given.
MSC:
91G50 Corporate finance (dividends, real options, etc.)
91B32 Resource and cost allocation (including fair division, apportionment, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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