Abstract
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.
Volume
3:2
Page
11-25
Year
1999
Categories
Actuarial Applications and Methodologies
Capital Management
Capital Requirements
Financial and Statistical Methods
Risk Measures
Publications
North American Actuarial Journal
