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Risk capital measurement index: TVAR% 26nbsp; or VaR

Concrete block additive 2021-07-29 14:06 132

common risk measurement indicators include standard deviation, VaR, TVAR, EPD, etc

 

SD is still a very common risk measurement index in reinsurance pricing, but it is rarely used in venture capital measurement

 

EPD is a measure adopted by RBC in the United States. Except that the major insurance risk test of reinsurance contract selects a similar ERD index as the quantitative measure of risk transfer, it seems that it is not widely used in other places

 

In the measurement of venture capital, the most commonly used indicators are VaR and TVAR. TVAR is called CTE or TCE in some places, and CVaR in others. Although some people think it is the difference between continuous distribution and discrete distribution, and whether it includes threshold points, it is generally believed that these refer to one thing

 

we seldom use VaR when using it. One reason is that VaR is not a good risk Measure, because it does not satisfy sub additive, VAR (x) + var (y)

 

EU SII uses var 99.5%, but Swiss SST and Japanese RBC use the measurement under TVAR, and both 99% and 95% are based on TVAR

 

These capital risk measures may have little impact on the capital management of direct insurance companies, but for reinsurance companies, especially those reinsurance companies that have written a lot of high-level catastrophe over loss business, as mentioned above, it is best not to have negative risk capital measures

 

 

 

Tag:Risk,capital,measurement,index