Title: Empirical analysis on economic capital by TailVaR model

Authors: Liu Fan; Tian Ling

Addresses: Department Insurance and Actuary, Economics and Management School, Wuhan University, 430072, Wuhan, China ' Department Insurance and Actuary, Economics and Management School, Wuhan University, 430072, Wuhan, China

Abstract: The model of TailVaR was used for analysis of the economic capital in this article. Three empirical works have been basically done, including the measurement of total economic capital, the calculation of economic capital for different lines of business, and the comparison of outcomes. The conclusions from the empirical analysis suggested that different methods of risk management should be implemented in different lines, in which the liability line was emphasised. More indicatively, the economic capital requirement could be reduced due to the effect of 'risk pool' for unexpected loss. Finally, recommendations on the economic capital management were proposed to Chinese insurance companies.

Keywords: economic capital; TailVaR; claim ratio; risk management; liability; capital management; China; insurance companies.

DOI: 10.1504/IJITM.2014.059158

International Journal of Information Technology and Management, 2014 Vol.13 No.1, pp.95 - 102

Received: 15 Apr 2013
Accepted: 04 Sep 2013
Published online: 10 May 2014 *

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