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Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers
Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20200029823
003  MAP
005  20200924174118.0
008  200924e20200901bel|||p |0|||b|eng d
040  ‎$a‎​MAP‎$b‎​spa‎$d‎​MAP
084  ‎$a‎​6
1001 ‎$0‎​MAPA20080650704‎$a‎​Cai, Jun ‌
24500‎$a‎​Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers‎$c‎​Jun Cai, Tiantian Mao
520  ‎$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.
650 4‎$0‎​MAPA20080590567‎$a‎​Empresas de seguros ‌
650 4‎$0‎​MAPA20080602437‎$a‎​Matemática del seguro ‌
650 4‎$0‎​MAPA20080579258‎$a‎​Cálculo actuarial ‌
650 4‎$0‎​MAPA20080604394‎$a‎​Valoración de riesgos ‌
650 4‎$0‎​MAPA20100019443‎$a‎​Requerimientos financieros ‌
700  ‎$0‎​MAPA20120013476‎$a‎​Mao, Tiantian ‌
7730 ‎$w‎​MAP20077000420‎$t‎​Astin bulletin‎$d‎​Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎​0515-0361‎$g‎​01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 1065-1092