a method of implementing myers-read capital allocation in.docVIP

下载本文档

6
0
约1.08万字
约 5页
2016-03-05 发布于广东
举报
版权申诉

a method of implementing myers-read capital allocation in.doc

1、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。。
2、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
3、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
4、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
5、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
6、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
7、VIP文档为合作方或网友上传，每下载1次，网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档

a method of implementing myers-read capital allocation in

A Method of Implementing Myers-Read Capital Allocation in Simulation David Ruhm, FCAS and Donald Mango, FCAS, MAAA Abstract In this paper, we show an especially simple way to produce Myers-Read capital allocations in simulations, by using the Ruhm-Mango-Kreps (RMK) conditional risk algorithm. The algorithm uses only weighted averages. In particular, it does not require any calculus, even though the Myers-Read formula is a differential equation. This is possible because the Myers-Read method is additive, and the Ruhm-Mango theorem guarantees that any additive allocation method can be reproduced by RMK. While Myers-Read capital allocation is based on probability of ruin, the RMK algorithm can easily be adapted to alternative risk measures of the user’s choice. Introduction In June 2000, Myers and Read described a method for allocating an insurer’s total capital to individual lines of business, according to the equation: Sk = Lk x (dS / dLk) , where S = total capital, Sk = capital for line k, and Lk = expected losses for line k. The formula is based on the assumption that total capital is determined by a fixed probability-of-ruin constraint, so that the expression (dS / dLk) represents how much capital would have to increase, in response to an increase in expected loss volume. An appealing feature of the theory is that the capital allocations so derived will sum to the total capital: ( Sk = S Although it is probably most natural to think of surplus allocation in terms of lines of business, this concept could be extended. For instance, one could use the same formula to allocate capital to loss layers within a line. The “sum-of-the-parts-equals-the-whole” additive property remains intact, allowing a consistent allocation of capital down to almost any level. In April 2003, Ruhm and Mango described a method of calculating risk charges based on conditional probabilities and total portfolio risk. Total portfolio risk charge is calculated from any risk measure that the user s