Difficult risks and capital models A report from the Extreme Events Working Party

This paper is a report from the Extreme Events Working Party. The paper considers some of the difficulties in calculating capital buffers to cover potential losses. This paper considers the reasons why a purely mechanical approach to calculating capital buffers may bot be possible or justified. A ra...

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Bibliographic Details
Published in:British Actuarial Journal 2014-09, Vol.19 (3), p.556-649
Main Authors: Frankland, R., Eshun, S., Hewitt, L., Jakhria, P., Jarvis, S., Rowe, A., Smith, A. D., Sharp, A. C., Sharpe, J., Wilkins, T.
Format: Article
Language:English
Subjects:
Business risks
Calibration
Capital requirements
Datasets
Financial risk
Judgment
Markov chains
Policyholders
Proxy reporting
Proxy statements
Solvency
Citations: Items that this one cites
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Summary:This paper is a report from the Extreme Events Working Party. The paper considers some of the difficulties in calculating capital buffers to cover potential losses. This paper considers the reasons why a purely mechanical approach to calculating capital buffers may bot be possible or justified. A range of tools and techniques is presented to help address some of the difficulties identified.
ISSN:1357-3217
2044-0456
1748-5002
DOI:10.1017/S1357321713000524