Completed Date: May 2016
George Zanjani and Daniel Bauer
Advances in capital allocation theory over the last decade have made important contributions to the way insurance companies think about risk pricing and performance measurement (see e.g. Myers and Read (2001) and Kalkbrener (2005)). However, there are still gaps between theory and practice in several directions, and we identify potential contributions to the literature. Topics studied in this project includes optimal capital allocation under imperfect information of exposure.
Completed Research Report
- Egalitarian Equivalent Capital Allocation, 2015 Insurance Mathematics Economics (IME) Conference, London, UK, Shinichi Kamiya and George Zanjani, June 2015
- Dynamic Capital Allocation with Irreversible Investments, 41st Seminar of European Group of Risk and Insurance Economists (EGRIE), Zurich, Switzerland, Daniel Bauer, Shinichi Kamiya, Xiaohu Ping and George Zanjani, September 2014