Value-oriented risk management of insurance companies. Translated from the German by Patrick D. F. Ion.

DOI10.1007/978-1-4471-6305-3zbMath1298.91009OpenAlexW635293733MaRDI QIDQ390783

Jochen Wolf, Marcus Kriele

Publication date: 8 January 2014

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-6305-3

zbMATH Keywords

credit riskmarket riskdiversificationexpected shortfalldynamic risk measureinsurance riskcapital allocationallotmentrisk capitalliquidity riskSolvency IIoperational riskcost of capitalallotment capital allocationbalance sheetCapital Asset Pricing Modelconcentration riskeconomic capital modelEconomic Value AddedGauss copulaGumbel copulaKalkbrener's axiomsKonTraGreputation riskReturn of Risk Adjusted CapitalReturn on Capitalrisk toleranceShapley's algorithmSolvency Istrategic riskstress testSwiss Solvency TestTail Value at Risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (3)

Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions ⋮ Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency ⋮ Fair dynamic valuation of insurance liabilities via convex hedging

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