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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

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.

Type
Sessional meetings: papers and abstracts of discussions
Copyright
Copyright © Institute and Faculty of Actuaries 2014 

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