Optimal capital allocation principles considering capital shortfall and surplus risks in ahierarchical corporate structure

Cai, J; Wang, Y

Wang, Y (corresponding author), East China Normal Univ, Fac Econ & Management, Sch Stat, Key Lab Adv Theory & Applicat Stat & Data Sci MOE, Shanghai 200062, Peoples R China.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 100 (): 329

Abstract

When allocating a given total capital among main business lines and their sub-business lines, a decision maker will face both capital shortfall risk a......

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