  This paper addresses allocation methodologies for a risk measure inherited
from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR)
measure defined as the smallest initial capital needed to ensure that the
ultimate ruin probability is less than a given threshold. We introduce an
intuitively appealing, novel allocation method, with a focus on its application
to capital reserves which are determined through the dynamic value-at-risk
(VaR) measure. Various desirable properties of the presented approach are
derived including a limit result when considering a large time horizon and the
comparison with the frequently used gradient allocation method. In passing, we
introduce a second allocation method and discuss its relation to the other
allocation approaches. A number of examples illustrate the applicability and
performance of the allocation approaches.
