A capital allocation scheme for a company that has a random total profit Y and uses a coherent risk measure ρ has been suggested. The scheme returns a unique real number Λρ(X ,Y ), which determines the capital that should be allocated to company’s subsidiary with random profit X . The resulting capital allocation is linear and diversifying as defined by Kalkbrener (2005). The problem is reduced...

OBJECTIVE To explore the variance of unit costs of hospital medical services due to different costing methods employed in the analysis. METHODS Retrospective and descriptive study at Kaengkhoi District Hospital, Saraburi Province, Thailand, in the fiscal year 2002. The process started with a calculation of unit costs of medical services as a base case. After that, the unit costs were re-calcu...

We develop a theory linking “misallocation,” i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion MPK depends on (i) heterogeneity firm-level risk and (ii) the magnitude premia. Stock market-based measures imply that considerations explain about 25% among US firms rationalize large persistent component MPK, consistent with micro-level data. Time-varying prem...

We introduce capital accumulation into an economy where individuals have private information with respect to productivity shocks. Efficient, incentive-compatible risk-sharing is achieved by conditioning current and future payoffs on the history of productivity reports. We develop a notion of efficiency, similar to that of Atkeson and Lucas (1992). The capital stock in the economy is endogenous ...

There is a growing interest among insurance companies to be able not only to compute total company capital requirements but also to allocate this total capital across its various business units. Wang (2002) recently recommended allocating the total cost of capital of an insurance company based on the idea of “exponential tilting”. Under the assumption that the risks or losses follow a multivari...