Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation

In the present paper we consider several measures for the risk that is present in an insurance environment. We look for desirable properties for two types of risk measures, the ones reflecting both negative and positive results, and the measures for insolvency risks dealing with aspects of ruin, as well as their relation to the allocation of economic capital to different business lines or to the different subcompanies constituting a financial conglomerate. The main problem for both types of measurements is that the dependence structure that exists between the different units involved is unknown.