Abstract:

HaezendonckGoovaerts risk measure was used to investigate the capital allocation in the insurance company. The individual risk in temporal individual risk model was evaluated based on HaezendonckGoovaerts risk measure in the case of the insurer’s total claim ceiling given. The allocated capital for the individual risk and the corresponding Orlicz quantile were computed. Then the relationships between the threshold, the individual risk capital, the confidence level and the insurer’s tolerance upper bound were elaborated in the case of the insurer’s financial safety. Finally, the numerical simulation and comparative analysis were provided. It provides the basis for the decisionmaking for the capital allocation in the insurance company.

Key words: temporal individual risk model, capital allocation, HaezendonckGoovaerts risk measure, Young function, Orlicz quantile