| ERM Resource |
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Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean–variance analysis |
Basel regulationscapital requirement regulationEconomic / Risk Based Capitalmarket lineNo specific riskregulated capitalrisk managementvalue-at-risk |
| ERM Resource |
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Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk |
Capital Requirementsexpected shortfallModel RiskNo specific riskRisk Reporting and Communicationvalue-at-risk |
| ERM Resource |
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Solvency II Solvency Capital Requirement for life insurance companies based on Expected Shortfall |
equity riskexpected shortfallInterest Rate RiskLongetivity RiskRegulationSolvency Capital RequirementSolvency IIvalue-at-risk |
| ERM Resource |
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Risk-minimising investment strategies |
conditional value-at-riskconstant proportion portfolio insurancedynamic asset allocationNo specific riskportfolio insuranceRisk Optimisationtime invariant portfolio protectionvalue-at-risk |
| ERM Resource |
|
Optimization of the Non-Life Insurance Risk Diversification in Solvency II |
conditional value-at-riskdiversification factorHerfindahl-Hirschman indexmultivariate elliptical and log-elliptical risk distributionsNo specific riskRegulationRisk OptimisationSolvency II non-life riskvalue-at-risk |