A synthesis of risk measures for capital adequacy

DOI10.1016/S0167-6687(99)00036-0zbMath0951.91032OpenAlexW2077312749WikidataQ127633498 ScholiaQ127633498MaRDI QIDQ1974035

Julia Lynn Wirch, Mary R. Hardy

Publication date: 25 July 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00036-0

zbMATH Keywords

risk measurevalue at riskPH-transform

Mathematics Subject Classification ID

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Cites Work

• Non-additive measure and integral
• Reserving for maturity guarantees: Two approaches
• Axiomatic characterization of insurance prices
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Raising Value at Risk

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