{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,15]],"date-time":"2025-10-15T17:57:41Z","timestamp":1760551061059,"version":"3.37.3"},"reference-count":24,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2020,2,20]],"date-time":"2020-02-20T00:00:00Z","timestamp":1582156800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"},{"start":{"date-parts":[[2020,2,20]],"date-time":"2020-02-20T00:00:00Z","timestamp":1582156800000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2021,4]]},"DOI":"10.1007\/s10479-020-03543-6","type":"journal-article","created":{"date-parts":[[2020,2,20]],"date-time":"2020-02-20T14:03:25Z","timestamp":1582207405000},"page":"747-763","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Capital allocation and RORAC optimization under solvency 2 standard formula"],"prefix":"10.1007","volume":"299","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9926-7869","authenticated-orcid":false,"given":"Fabio","family":"Baione","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Paolo","family":"De Angelis","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ivan","family":"Granito","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2020,2,20]]},"reference":[{"key":"3543_CR1","unstructured":"Albrecht, P. (2004). Risk-based capital allocation. In J. L. Teugles & B. Sundt (Eds.), Encyclopedia of actuarial science. Chichester: Wiley."},{"key":"3543_CR2","first-page":"68","volume":"10","author":"P Artzner","year":"1997","unstructured":"Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1997). Thinking coherently. RISK, 10, 68\u201371.","journal-title":"RISK"},{"key":"3543_CR3","volume-title":"Practical risk-adjusted performance measurement","author":"Carl R Bacon","year":"2013","unstructured":"Bacon, Carl R. (2013). Practical risk-adjusted performance measurement. New York: Wiley."},{"key":"3543_CR4","volume-title":"Actuarial mathematics","author":"NL Bowers Jr","year":"1989","unstructured":"Bowers, N. L, Jr., Gerber, H. U., Hickman, J. C., Jones, D. A., & Nesbitt, C. J. (1989). Actuarial mathematics. Itasca: The Society of Actuaries."},{"key":"3543_CR5","first-page":"235","volume":"42","author":"A Buch","year":"2008","unstructured":"Buch, A., & Dorfleitner, G. (2008). Coherent risk measures, coherent capital allocations and the gradient allocation principle. Insurance: Mathematics and Economics, 42, 235\u2013242.","journal-title":"Insurance: Mathematics and Economics"},{"key":"3543_CR6","doi-asserted-by":"publisher","first-page":"3001","DOI":"10.1016\/j.jbankfin.2011.04.001","volume":"35","author":"A Buch","year":"2011","unstructured":"Buch, A., Dorfleitner, G., & Wimmer, M. (2011). Risk capital allocation for RORAC optimization. Journal of Banking and Finance, 35, 3001\u20133009.","journal-title":"Journal of Banking and Finance"},{"issue":"1","key":"3543_CR7","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1111\/j.1539-6975.2011.01408.x","volume":"79","author":"J Dhaene","year":"2012","unstructured":"Dhaene, J., Tsanakas, A., Valdez, E. A., & Vanduffel, S. (2012). Optimal capital allocation principles. The Journal of Risk and Insurance, 79(1), 1\u201328. https:\/\/doi.org\/10.1111\/j.1539-6975.2011.01408.x.","journal-title":"The Journal of Risk and Insurance"},{"key":"3543_CR8","doi-asserted-by":"publisher","first-page":"7","DOI":"10.21314\/JOR.2001.053","volume":"4","author":"M Denault","year":"2001","unstructured":"Denault, M. (2001). Coherent allocation of risk capital. Journal of Risk, 4, 7\u201321.","journal-title":"Journal of Risk"},{"key":"3543_CR9","doi-asserted-by":"publisher","DOI":"10.1002\/0470016450","volume-title":"Actuarial theory for dependent risks: Measures, orders and models","author":"M Denuit","year":"2005","unstructured":"Denuit, M., Dhaene, J., Goovaerts, M., & Kaas, R. (2005). Actuarial theory for dependent risks: Measures, orders and models. Chichester: Wiley."},{"issue":"1","key":"3543_CR10","first-page":"1","volume":"24","author":"M Denuit","year":"2006","unstructured":"Denuit, M., Dhaene, J., Goovaerts, M., Kaas, R., & Laeven, R. (2006). Risk measurement with the equivalent utility principles. Statistics and Decisions, 24(1), 1\u201326.","journal-title":"Statistics and Decisions"},{"key":"3543_CR11","unstructured":"EIOPA (2014a). The underlying assumption in the standard formula for solvency capital requirement calculation. https:\/\/eiopa.europa.eu. Accessed 25 July 2014."},{"key":"3543_CR12","unstructured":"EIOPA (2014b). Technical specification for the preparatory phase (part I). EIOPA 14\/209 30 April 2014. Accessed 25 July 2014."},{"key":"3543_CR13","unstructured":"EIOPA (2009). Directive 2009\/138\/EC of the European parliament and of the council 25 November 2009 on the taking-up and pursuit of the business of insurance and reinsurance (Solvency II). https:\/\/eur-lex.europa.eu\/legal-content\/en\/ALL\/?uri=CELEX%3A32009L0138. Accessed 16 Aug 2019."},{"key":"3543_CR14","unstructured":"EIOPA (2009). Technical specification for the preparatory phase (part i)."},{"key":"3543_CR15","doi-asserted-by":"publisher","first-page":"565","DOI":"10.2143\/AST.39.2.2044648","volume":"39","author":"D Filipovi\u0107","year":"2009","unstructured":"Filipovi\u0107, D. (2009). Multi-Level Risk Aggregation. ASTIN Bulletin, 39, 565\u2013575. https:\/\/doi.org\/10.2143\/AST.39.2.2044648.","journal-title":"ASTIN Bulletin"},{"key":"3543_CR16","volume-title":"Modern actuarial risk theory: Using R","author":"R Kaas","year":"2001","unstructured":"Kaas, R., Goovaerts, M., Dhaene, J., & Denuit, M. (2001). Modern actuarial risk theory: Using R. Berlin: Springer."},{"key":"3543_CR17","doi-asserted-by":"publisher","first-page":"1503","DOI":"10.7465\/jkdi.2013.24.6.1503","volume":"24","author":"HT Kim","year":"2013","unstructured":"Kim, H. T. (2013). Diversification, performance and optimal business mix of insurance portfolios. Journal of the Korean Data & Information Science Society, 24, 1503\u20131520.","journal-title":"Journal of the Korean Data & Information Science Society"},{"issue":"1","key":"3543_CR18","first-page":"77","volume":"7","author":"HM Markowitz","year":"1952","unstructured":"Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77\u201391.","journal-title":"The Journal of Finance"},{"key":"3543_CR19","series-title":"Princeton series in Finance","volume-title":"Quantitative risk management","author":"A McNeil","year":"2005","unstructured":"McNeil, A., Frey, R., & Embrechts, P. (2005). Quantitative risk management., Princeton series in Finance Princeton: Princeton University Press."},{"key":"3543_CR20","doi-asserted-by":"publisher","DOI":"10.1002\/0470051310","volume-title":"Operational risk, modeling analytics","author":"H Panjer","year":"2006","unstructured":"Panjer, H. (2006). Operational risk, modeling analytics. Hoboken: Wiley."},{"key":"3543_CR21","unstructured":"Tasche D. (1999). Risk contributions and performance measurement. Working paper, Technische Universitat Munchen."},{"key":"3543_CR22","doi-asserted-by":"publisher","first-page":"1519","DOI":"10.1016\/S0378-4266(02)00272-8","volume":"26","author":"D Tasche","year":"2002","unstructured":"Tasche, D. (2002). Expected shortfall and beyond. Journal of Banking and Finance, 26, 1519\u20131533.","journal-title":"Journal of Banking and Finance"},{"key":"3543_CR23","first-page":"275","volume-title":"Economic capital\u2013 a practioner guide","author":"D Tasche","year":"2004","unstructured":"Tasche, D. (2004). Allocating portfolio economic capital to sub-portfolios. In A. Dev (Ed.), Economic capital\u2013 a practioner guide (pp. 275\u2013302). London: Risk Books."},{"key":"3543_CR24","unstructured":"Tasche D. (2007). Capital Allocation to business units and sub-portfolios: The Euler principle. arXiv.orghttp:\/\/ideas.repec.org\/p\/arx\/papers\/0708.2542.html."}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-020-03543-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-020-03543-6\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-020-03543-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2021,4,2]],"date-time":"2021-04-02T16:25:50Z","timestamp":1617380750000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-020-03543-6"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,2,20]]},"references-count":24,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2021,4]]}},"alternative-id":["3543"],"URL":"https:\/\/doi.org\/10.1007\/s10479-020-03543-6","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"type":"print","value":"0254-5330"},{"type":"electronic","value":"1572-9338"}],"subject":[],"published":{"date-parts":[[2020,2,20]]},"assertion":[{"value":"20 February 2020","order":1,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}