Analysis Of Economic Capital Allocation Model Based On Haezendonck-Goovaerts Risk Measure

In real life,some risks for a kind of people are calamity,but it may be a small problem that can be solved for another type of people,so the risk should be measured vary from person to person.Because people often make decisions from utility value of the risk rather than the absolute amount of risks,so according to the different people's utility functions to measure the risk is a more effective method.In this paper,we use a tail measure method which can reflect the risk attitude of the actor to study the risk and measure the economic capital.In this paper,based on the Haezendonck-Goovaerts risk measure method(HGRM),under the condition that the total risk S is greater than the q quantile,we will calculate the amount of the capital allocated to the individual risks of the insurance company.The axiomatic properties of the conditional HGRM are studied.There are three main attitudes of economic actors to risk: risk preference,risk aversion and risk neutral.Accordingly,we let the Young function take concave and convex or identity function,and give the analytical expressions.First,we use R software to simulate the HGRM,compare with the results in the case of the different confidence levels and sample sizes,measure the risk based on different Young functions.Secondly,we study the contribution rate of the individual risk to the total risk S that over the q quantile,and get the ratio of the downward allocation of economic capital.When the individual risk is homogeneous,the contribution rate of individual risk to the total risk is equal,and the total economic capital is divided.Further,if a total loss has occurred tail risk,this paper explores the different individual risk influence on the total risk of loss in proportion,and then take this as the basis,different proportions of each individual loss of capital is allocated,to achieve a more accurate overall prevention and the individual risk.Finally,the conditional HGRM and unconditional HGRM are compared and analyzed.Another work of this paper is to study the nonparametric simulation of the economic capital allocation model based on HGRM.The empirical likelihood method is used to construct the economic capital allocation model based on HGRM,and the conditions of HGRM under different distributions and different Young functions are simulated.