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Risk Capital Allocation and Sensitivity Analysis in Non-Life Insurance Companies

Uğur Karabey


The measurement and the allocation of risk are fundamental problems of risk management in financial companies. Risk measures such as Value at Risk and expected shortfall are the commonly used approaches to the former problem. For the latter, the contributions by sub-portfolios to the total portfolio risk should be calculated carefully. This paper studies risk capital allocation methods and investigates allocations sensitivities to different allocation methods, different risk measures and different risk models. It turns out that allocation methods matter especially if the employed risk measure is Value at Risk.


risk capital allocation, risk measures, non-life insurance.

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