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英文标题：
《On a capital allocation principle coherent with the Solvency 2 standard
formula》
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作者：
Fabio Baione, Paolo De Angelis and Ivan Granito
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最新提交年份：
2018
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英文摘要：
Solvency II Directive 2009/138/EC requires an insurance and reinsurance undertakings assessment of a Solvency Capital Requirement by means of the so-called \"Standard Formula\" or by means of partial or full internal models. Focusing on the first approach, the bottom-up aggregation formula proposed by the regulator permits a capital reduction due to diversification effect, according to the typical subadditivity property of risk measures. However, once the overall capital has been assessed no specific allocation formula is provided or required in order to evaluate the contribution of each risk source on the overall SCR. The aim of this paper is to provide a closed formula for capital allocation fully coherent with the Solvency II Capital Requirement assessed by means of Standard Formula. The solution proposed permits a top-down approach to assess the allocated SCR among the risks considered in the multilevel aggregation scheme established by Solvency II. Besides, we demonstrate that the allocation formula here proposed is consistent with the Euler\'s allocation principle
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中文摘要：
《偿付能力II指令2009/138/EC》要求保险和再保险公司通过所谓的“标准公式”或部分或全部内部模型对偿付能力资本要求进行评估。针对第一种方法，监管机构提出的自下而上的聚合公式允许根据风险度量的典型次加性特性，由于多元化效应而减少资本。然而，一旦评估了总资本，就没有提供或需要特定的分配公式来评估每个风险源对总SCR的贡献。本文的目的是提供一个封闭的资本分配公式，该公式完全符合通过标准公式评估的Solvency II资本要求。提出的解决方案允许采用自上而下的方法，在Solvency II建立的多级聚合方案中考虑的风险中评估分配的SCR。此外，我们还证明了本文提出的分配公式与欧拉分配原理是一致的
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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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