The Study Of Optimal Capital Allocation Based On The Mean-Variance Model

The optimal capital allocation is one of the hot issues in the risk manage-ment over the years. Capital allocation is to combine the company’s funds in different sources and to distribute in different business. In the case of a certain capital, it is necessary for insurance companies to arrange a reasonable source of funds so that these funds are allocated to the most needed places. The optimal allocation of funds can improve the financing structure and investment structure, and further improve the utilization of the funds. In the actuarial field, capital allocation is particularly important. The insurance company needs to calculate reserves for unearned premium and each business unit will reserve for insurance claims. Therefore, capital allocation is an integral part of the insurance company’s assessment of the risks and solvency of the insurance company.As the world’s economics grow rapidly, there has been growing interest in studying the optimal capital allocations in domestic and foreign scholars. This paper studies capital allocation problems with the aggregate risk exceeding a cer-tain threshold. We propose a novel capital allocation rule based on the Weighted Tail-Mean-Variance principle. And under the principle when the random vari-able is for multivariate elliptical distributions, we get a solution for the portfolio optimization and extend some of the results in literature.