Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation
In the present paper we consider several measures Ior the risk that is present in all insurance environment. We look for desirable properties for two types of risk measures, the ones reflecting both negative and positive results, and the measures for insolvency risks dealing with aspects of ruin, as well as their relation to the allocation of economic capita1 to different business lines or to the different subcompanies constituting a financial conglomerate. The main problem for both types of measurements is that the dependence structure that exists between the different units involved is unknown.
Year of publication: |
2001
|
---|---|
Authors: | DHaene, J. ; Goovaerts, M. ; Kaas, R. |
Published in: |
Review of Business and Economics. - Faculteit Economie en Bedrijfswetenschappen. - Vol. XLVI.2001, 4, p. 545-562
|
Publisher: |
Faculteit Economie en Bedrijfswetenschappen |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Optimal approximations for risk measures of sums of lognormals based on conditional expectations
Vanduffel, S., (2008)
-
Modern actuarial risk theory: using R
Kaas, R., (2008)
-
Vanduffel, S., (2003)
- More ...