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Difficult risks and capital models

A report from the Extreme Events Working Party

Published online by Cambridge University Press:  29 August 2014

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

Keywords

Capital ModellingJudgementModel and parameter riskProxy model errors
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 19 , Issue 3 , September 2014 , pp. 556 - 616
Copyright
Copyright © Institute and Faculty of Actuaries 2014 

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