Application of Coherent Risk Measures to Capital Requirements in Insurance

Philippe Artzner

North American Actuarial Journal, 1999, vol. 3, issue 2, 11-25

Abstract: Risk measurements go hand in hand with setting of capital minima by companies as well as by regulators. We review the properties of coherent risk measures and examine their implications for capital requirement in insurance. We also comment on the specific risk-based capital computations.

Date: 1999
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DOI: 10.1080/10920277.1999.10595795

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