IDEAS home Printed from https://ideas.repec.org/a/ids/ijbcrm/v5y2014i1p4-13.html
   My bibliography  Save this article

On the use of risk measures in solvency capital estimation

Author

Listed:
  • Lluís Bermúdez
  • Antoni Ferri
  • Montserrat Guillén

Abstract

Regulation on the minimum capital that a financial institution or an insurance firm must hold to guarantee its solvency is proportional to a measure of its global risk. Using Monte Carlo simulation we show that, in some instances, risk measures can substantially underestimate risk. So, we address the implications on the choice of the risk measure that determines the economic capital requirement. The paper analyses the relationship between dependence structures, risk measurement and capital estimation.

Suggested Citation

  • Lluís Bermúdez & Antoni Ferri & Montserrat Guillén, 2014. "On the use of risk measures in solvency capital estimation," International Journal of Business Continuity and Risk Management, Inderscience Enterprises Ltd, vol. 5(1), pages 4-13.
    • Handle: RePEc:ids:ijbcrm:v:5:y:2014:i:1:p:4-13
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=60040
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel, 2013. "The connection between distortion risk measures and ordered weighted averaging operators," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 411-420.
    2. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    3. Bermúdez, Lluís & Ferri, Antoni & Guillén, Montserrat, 2013. "A Correlation Sensitivity Analysis of Non-Life Underwriting Risk in Solvency Capital Requirement Estimation," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(01), pages 21-37, January.
    4. Antoni Ferri & Montserrat Guillén & Lluís Bermúdez, 2012. "Solvency Capital estimation and Risk Measures," Working Papers XREAP2012-02, Xarxa de Referència en Economia Aplicada (XREAP), revised Jan 2012.
    5. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    6. Guillen, Montserrat & Prieto, Faustino & Sarabia, José María, 2011. "Modelling losses and locating the tail with the Pareto Positive Stable distribution," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 454-461.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:eee:riibaf:v:45:y:2018:i:c:p:208-218 is not listed on IDEAS

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbcrm:v:5:y:2014:i:1:p:4-13. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carmel O'Grady). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=333 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.