英文标题：
《Capital allocation and risk appetite under Solvency II framework》
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作者：
Ivan Granito and Paolo De Angelis
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最新提交年份：
2015
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英文摘要：
The aim of this paper is to introduce a method for computing the allocated Solvency II Capital Requirement (SCR) of each Risk which the company is exposed to, taking in account for the diversification effect among different risks. The method suggested is based on the Euler principle. We show that it has very suitable properties like coherence in the sense of Denault (2001) and RORAC compatibility, and practical implications for the companies that use the standard formula. Further, we show how this approach can be used to evaluate the underwriting and reinsurance policies and to define a measure of the Company\'s risk appetite, based on the capital at risk return.
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中文摘要：
本文的目的是介绍一种计算公司面临的每个风险的分配偿付能力II资本要求（SCR）的方法，同时考虑不同风险之间的分散效应。该方法基于欧拉原理。我们表明，它具有非常合适的性质，如Denault（2001）意义上的一致性和RORAC兼容性，以及对使用标准公式的公司的实际影响。此外，我们还展示了如何使用这种方法来评估承保和再保险政策，并根据风险资本回报率定义公司风险偏好的衡量标准。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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