Difficult risks and capital models. (29th August 2014)

• Record Type: Journal Article
• Authors: Frankland, R.; Eshun, S.; Hewitt, L.; Jakhria, P.; Jarvis, S.; Rowe, A.; Smith, A. D.; Sharp, A. C.; Sharpe, J.; Wilkins, T.
• Is Part Of: British actuarial journal. Volume 19:Number 3(2014:Sep.)
• Page Start: 556
• Page End: 616
• Publication Date: 2014-08-29
• Subjects: Actuarial science -- Periodicals; Insurance, Life -- Periodicals; Periodicals; Periodicals; 368.010941
• DOI: 10.1017/S1357321713000524
• Languages: English
• ISSNs: 1357-3217

Abstract

<abstract abstract-type="normal"> <title>Abstract</title> <p>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.</p> </abstract>