This paper studies capital allocation problems with the aggregate risk exceeding a certain threshold. We propose a novel capital allocation rule based on the Tail Mean–Variance principle. General formulas for the optimal capital allocations are proposed. Explicit formulas for optimal capital...

This paper studies capital allocation problems using a general loss function. Stochastic comparisons are conducted for general loss functions in several scenarios: independent and identically distributed risks; independent but non-identically distributed risks; comonotonic risks. Applications in...