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Using tail conditional expectation for capital requirement calculation of a general insurance undertaking

2009Journal article Open access
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dc.contributor.authorDuque, João
dc.contributor.authorReis, Alfredo Egidio dos
dc.contributor.authorGarcia, Ricardo
dc.date.accessioned2024-05-07T08:00:19Z
dc.date.available2024-05-07T08:00:19Z
dc.date.issued2009
dc.description.abstractIn this paper we develop a solvency model to estimate the necessary economic capital of a real insurance undertaking operating solely in the Automobile branch, applying the Tail Conditional Expectation risk measure. The model assumes a one year time horizon static approach with an unchanged asset and liability structure for the company. After discussing the main factors affecting the whole of the insurance activity and their influence on the assets and liabilities on that real insurance undertaking used in the study, we calculate its necessary economic capital, by using the Monte Carlo simulation technique to generate the probability distribution of the possible future profit and losses with impact on the company’s fair value. This paper introduces an application of a set of techniques that are usually applied to manage asset and liability risks to capital requirements. With a simulated exercise applied to a real insurance undertaking we show its feasibility, its advantages and how useful it may be for investors, regulators and remaining stakeholders when the technique is explored in depth.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationDuque, João. Alfredo D. Egidio dos Reis and Ricardo Garcia .(2009). “Using tail conditional expectation for capital requirement calculation of a general insurance undertaking”. ISEG – ADVANCE and CEMAPRE at academia.edu. (Search PDF in 2024).pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.5/30936
dc.language.isoengpt_PT
dc.publisherISEG - ADVANCE and CEMAPREpt_PT
dc.subjectTail Conditional Expectationpt_PT
dc.subjectValue-at-Riskpt_PT
dc.subjectCapital Requirementpt_PT
dc.subjectResamplingpt_PT
dc.subjectMonte Carlo Simulationpt_PT
dc.subjectRisk Managementpt_PT
dc.titleUsing tail conditional expectation for capital requirement calculation of a general insurance undertakingpt_PT
dc.typejournal article
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT

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