Centro de Documentación de Fundación MAPFRE - Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers

Notas: Sumario: 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.Registros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 1065-1092Materia / lugar / evento: Empresas de seguros Matemática del seguro Cálculo actuarial Valoración de riesgos Requerimientos financieros Otros autores: Mao, Tiantian
Otras clasificaciones: 6

Derechos: In Copyright (InC)

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