Application of coherent risk measures to capital requirements in insurance. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). (English) Zbl 1082.91525

Artzner, Philippe

N. Am. Actuar. J. 3, No. 2, 11-25 (1999).

Summary: Risk measurements go hand in hand with setting of capital minima by companies as well as by regulators. We review the properties of coherent risk measures and examine their implications for capital requirement in insurance. We also comment on the specific risk-based capital computations.

MSC:

91B30

Risk theory, insurance (MSC2010)

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