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HU Feng-xia, YAO Ding-jun. Applications of axiomatic capital allocation and generalized weighted allocation[J]. Journal of East China Normal University (Natural Sciences), 2010, (6): 146-155.
Citation:
HU Feng-xia, YAO Ding-jun. Applications of axiomatic capital allocation and generalized weighted allocation[J]. Journal of East China Normal University (Natural Sciences), 2010, (6): 146-155.
HU Feng-xia, YAO Ding-jun. Applications of axiomatic capital allocation and generalized weighted allocation[J]. Journal of East China Normal University (Natural Sciences), 2010, (6): 146-155.
Citation:
HU Feng-xia, YAO Ding-jun. Applications of axiomatic capital allocation and generalized weighted allocation[J]. Journal of East China Normal University (Natural Sciences), 2010, (6): 146-155.
Applications of two kinds of capital allocation principles were studied: one was axiomatic allocation which had been known, and the other was generalized weighted allocation. Firstly, several known risk measures were listed. Based on a axiomatic method, allocation formulae with respect to these risk measures were given. Then in view of a specific numerical model, its allocation results were calculated. Secondly, generalized weighted allocation, which was an extension of weighted allocation, was considered. A method for comparing the amounts of generalized weighted capital allocations under two different aggregate losses, which stems from diversifying property, was mainly discussed. And some special examples were given.