Compositions of Conditional Risk Measures and Solvency Capital
AbstractIn this paper, we consider compositions of conditional risk measures in order to obtain time-consistent dynamic risk measures and determine the solvency capital of a life insurer selling pension liabilities or a pension fund with a single cash-flow at maturity. We first recall the notion of conditional, dynamic and time-consistent risk measures. We link the latter with its iterated property, which gives us a way to construct time-consistent dynamic risk measures from a backward iteration scheme with the composition of conditional risk measures. We then consider particular cases with the conditional version of the value at risk, tail value at risk and conditional expectation measures. We finally give an application of these measures with the determination of the solvency capital of a pension liability, which offers a fixed guaranteed rate without any intermediate cash-flow. We assume that the company is fully hedged against the mortality and underwriting risks. View Full-Text
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
Devolder, P.; Lebègue, A. Compositions of Conditional Risk Measures and Solvency Capital. Risks 2016, 4, 49.
Devolder P, Lebègue A. Compositions of Conditional Risk Measures and Solvency Capital. Risks. 2016; 4(4):49.Chicago/Turabian Style
Devolder, Pierre; Lebègue, Adrien. 2016. "Compositions of Conditional Risk Measures and Solvency Capital." Risks 4, no. 4: 49.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.