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

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<title>Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers</title>
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<namePart>Cai, Jun</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Jun Cai, Tiantian Mao</note>
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<topic>Valoración de riesgos</topic>
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<topic>Requerimientos financieros</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
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<text>01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 1065-1092</text>
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