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Robert Merton and Andre Perold, “Theory of Risk Capital in Financial Firms,” Journal of Applied Corporate Finance, Fall 1993
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Robert Merton and Andre Perold, “Theory of Risk Capital in Financial Firms,” Journal of Applied Corporate Finance, Fall 1993
Stewart C. Myers and James A. Read, Jr., “Capital Allocation for Insurance Companies,” Journal of Risk and Insurance
http://www.aib.org/RPP/Myers-Read.pdf
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http://www.casact.org/pubs/forum/03wforum/03wf351.pdf
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Hans U. Gerber and Gérard Pafumi, “Utility Functions: From Risk Theory To Finance,” North American Actuarial Journal, Volume 2 (July 1998), 74-100.
Leigh J. Halliwell, “The Valuation of Stochastic Cash Flows,” CAS Forum, Spring 2003
http://www.casact.org/pubs/forum/03spforum/03spf001.pdf
“Valuing Stochastic Cash Flows: A Thought Experiment,” CAS Forum, Winter 2004
http://www.casact.org/pubs/forum/04wforum/04wf291.pdf
Alastair G. Longley-Cook, “Risk-Adjusted Economic Value Analysis,” North American Actuarial Journal, Volume 2 (Jan 1998), 87-100.
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