In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship...

We consider the problem of how to determine the required level of the current provision in order to be able to meet a series of future deterministic payment obligations, in case the provision is invested according to a given random return process. Approximate solutions are derived, taking into...

The Basel Accords represent landmark financial agreements for the regulation of commercial banks. The main purpose of the accords was to strengthen the soundness and stability of the international banking system by providing a minimum standard for capital requirements. In 2004, the Basel...

In this paper we consider different approximations for computing the distribution function or risk measures related to a discrete sum of nonindependent lognormal random variables. Comonotonic upper bound and lower bound approximations for such sums have been proposed in Dhaene et al. (2002a,b)....

Dhaene, Denuit, Goovaerts, Kaas amp; Vyncke (2002a,b) have studied convex bounds for a sum of dependent random variables and applied these to sums of log-normal random variables. In particular, they have shown how these convex bounds can be used to derive closed-form approximations for several...

Everyday we face all kinds of risks, and insurance is in the business of providing us a means to transfer or share these risks, usually to eliminate or reduce the resulting financial burden, in exchange for a predetermined price or tariff. Actuaries are considered professional experts in the...