摘要
如何确定经济资本以弥补潜在的损失是保险公司风险管理中核心的问题之一。文章应用风险度量一致性原则及TailVaR函数定量估算了中国保险公司应具备的经济资本数量。
It is a key problem for insurance company to determine its economic capital to buffer potential losses. So the principle of coherence of risk measure and TailVaR （also named conditional tail expectation or conditional Value- at - Risk） which is a kind of coherent risk measures, are introduced. Finally we apply all that discussed above to calculate China＇s insurers＇ economic capital.
出处
《统计与信息论坛》
2005年第6期33-36,共4页
Journal of Statistics and Information
基金
国家社会科学基金课题(01BJY097)
