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A Comparison of Risk-Based Capital Standards under the Expected Policyholder Deficit and the Probability of Ruin Approaches

✍ Scribed by Michael M. Barth


Book ID
124621660
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
418 KB
Volume
67
Category
Article
ISSN
0022-4367

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✍ Michael Bowe; Maximilian J.B. Hall πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 239 KB πŸ‘ 2 views

The EC's Capital Adequacy Directive (CAD) and the 1995 Basle Committee (BC) proposals are analysed as approaches to regulating market risk. We derive conditions under which the BC's proposal, namely supplementing a CAD-type standardized risk measurement framework with proprietary procedures subject