Kim, Joseph H.T.; Hardy, Mary R. - In: Insurance: Mathematics and Economics 44 (2009) 3, pp. 357-366
In this paper we propose a new capital allocation method based on an idea of [Sherris, M., 2006. Solvency, capital allocation and fair rate of return in insurance. J. Risk Insurance 73 (1), 71-96]. The proposed method explicitly accommodates the notion of limited liability of the shareholders....