University of St. Gallen / University of Torino / Institute of Insurance Economics / /
IndustryTerm
insurance risk premiums / active internal risk management / /
MarketIndex
S&P 500 / S&P / /
Organization
University of St. Gallen / Institute of Insurance Economics / Department of Statistics and Mathematics / Center for International Securities and Derivatives Markets / University of Torino / /
Internal vs. External Risk Measures: How Capital Requirements Differ in Practice Martin Eling and Luisa Tibiletti* August 20, 2008 Abstract: We compare capital requirements derived by tail conditional expectation (TCE) w