Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20200029823</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20200924174118.0</controlfield>
    <controlfield tag="008">200924e20200901bel|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20080650704</subfield>
      <subfield code="a">Cai, Jun</subfield>
    </datafield>
    <datafield tag="245" ind1="0" ind2="0">
      <subfield code="a">Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers</subfield>
      <subfield code="c">Jun Cai, Tiantian Mao</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">In this study, we propose new risk measures from a regulator's perspective on the regulatory capital requirements. The proposed risk measures possess many desired properties, including monotonicity, translation-invariance, positive homogeneity, subadditivity, nonnegative loading, and stop-loss order preserving. The new risk measures not only generalize the existing, well-known risk measures in the literature, including the Dutch, tail value-at-risk (TVaR), and expectile measures, but also provide new approaches to generate feasible and practical coherent risk measures. As examples of the new risk measures, TVaR-type generalized expectiles are investigated in detail. In particular, we present the dual and Kusuoka representations of the TVaR-type generalized expectiles and discuss their robustness with respect to the Wasserstein distance.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080590567</subfield>
      <subfield code="a">Empresas de seguros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080604394</subfield>
      <subfield code="a">Valoración de riesgos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20100019443</subfield>
      <subfield code="a">Requerimientos financieros</subfield>
    </datafield>
    <datafield tag="700" ind1=" " ind2=" ">
      <subfield code="0">MAPA20120013476</subfield>
      <subfield code="a">Mao, Tiantian</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 1065-1092</subfield>
    </datafield>
  </record>
</collection>