IDEAS home Printed from https://ideas.repec.org/a/ids/ijitma/v13y2014i1p95-102.html
   My bibliography  Save this article

Empirical analysis on economic capital by TailVaR model

Author

Listed:
  • Liu Fan
  • Tian Ling

Abstract

The model of TailVaR was used for analysis of the economic capital in this article. Three empirical works have been basically done, including the measurement of total economic capital, the calculation of economic capital for different lines of business, and the comparison of outcomes. The conclusions from the empirical analysis suggested that different methods of risk management should be implemented in different lines, in which the liability line was emphasised. More indicatively, the economic capital requirement could be reduced due to the effect of 'risk pool' for unexpected loss. Finally, recommendations on the economic capital management were proposed to Chinese insurance companies.

Suggested Citation

  • Liu Fan & Tian Ling, 2014. "Empirical analysis on economic capital by TailVaR model," International Journal of Information Technology and Management, Inderscience Enterprises Ltd, vol. 13(1), pages 95-102.
    • Handle: RePEc:ids:ijitma:v:13:y:2014:i:1:p:95-102
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=59158
    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.

    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:ijitma:v:13:y:2014:i:1:p:95-102. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=18 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.