Application of Coherent Risk Measures to Capital Requirements in Insurance |
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| Authors: | Philippe Artzner Ph.D. |
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| Affiliation: | Institut de Recherche Matheématique Avanceée , Université Louis Pasteur et CNRS, et Laboratoire de Recherches en Gestion , F 67084 Strasbourg , France E-mail: artzner@math.u-strasbg.fr |
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| 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. |
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