Difficult risks and capital models

R. Frankland, S. Eshun, L. Hewitt, P. Jakhria, S. Jarvis, A. Rowe, A. D. Smith, A. C. Sharp, J. Sharpe and T. Wilkins

British Actuarial Journal, 2014, vol. 19, issue 3, 556-616

Abstract: 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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:cup:bracjl:v:19:y:2014:i:03:p:556-616_00

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