RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS

DOI10.1017/asb.2020.22zbMath1454.91169OpenAlexW3121563380MaRDI QIDQ5140089

Jun Cai, Tiantian Mao

Publication date: 13 December 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.22

zbMATH Keywords

coherent risk measureexpectileTVaRstop-loss reinsurancestop-loss order preservingDutch risk measureKuosuoka representation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

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A multivariate CVaR risk measure from the perspective of portfolio risk management, Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks, Risk measures based on behavioural economics theory, Optimal stop-loss reinsurance with joint utility constraints

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