  The European insurance sector will soon be faced with the application of
Solvency 2 regulation norms. It will create a real change in risk management
practices. The ORSA approach of the second pillar makes the capital allocation
an important exercise for all insurers and specially for groups. Considering
multi-branches firms, capital allocation has to be based on a multivariate risk
modeling. Several allocation methods are present in the literature and insurers
practices. In this paper, we present a new risk allocation method, we study its
coherence using an axiomatic approach, and we try to define what the best
allocation choice for an insurance group is.
