Economic capital allocation derived from risk measures

2020-02-22 21:50

CiteSeerX Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We examine properties of risk measures that can be considered to be in line with some best practice rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure.Economic capital allocation derived from risk measures M. J. Goovaerts R. Kaas J. Dhaene June 4, 2002 Abstract We examine properties of risk measures that can be considered to be in line with some best practice rules in insurance, based on solvency margins. economic capital allocation derived from risk measures

Economic Capital Allocation Derived From Risk Measures Article (PDF Available) in North American Actuarial Journal 7(2): 4459 April 2003 with 108 Reads DOI:

Economic capital allocation derived from risk measures M. J. Goovaerts R. Kaas J. Dhaene June 4, 2002 Abstract We examine properties of risk measures that can be considered to be in line with some ECONOMIC CAPITAL ALLOCATION DERIVED FROM RISK MEASURES Jan L. M. Dhaene, Mark J. Goovaerts, and Rob Kaas ABSTRACT We examine properties of risk measures that can be considered to be in line with some best practice rules in insurance, based on solvency margins.economic capital allocation derived from risk measures Downloadable (with restrictions)! We examine properties of risk measures that can be considered to be in line with some best practice rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for