Reports Outline Insurance Economics Study Results from York University (Can a Regulatory Risk Measure Induce Profit-maximizing Risk Capital Allocations? the Case of Conditional Tail Expectation): Economics – Insurance Economics

2022 JAN 03 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Researchers detail new data in Economics - Insurance Economics. According to news reporting from Toronto, Canada, by NewsRx journalists, research stated, “Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA has been living in the shadow of another, closely related notion, of risk measure (RM) in the sense that the latter notion often shapes the fashion in which the former notion is implemented.”

The news correspondents obtained a quote from the research from York University, “In fact, as the majority of the RCAs known nowadays are induced by RMs, the popularity of the two are apparently very much correlated. As a result, it is the RCA that is induced by the Conditional Tail Expectation (CTE) RM that has arguably prevailed in scholarly literature and applications. Admittedly, the CTE RM is a sound mathematical object and an important regulatory RM, but its appropriateness is controversial in, e.g., profitability analysis and pricing. In this paper, we address the question as to whether or not the RCA induced by the CTE RM may concur with alternatives that arise from the context of profit maximization.”

According to the news reporters, the research concluded: “More specifically, we provide exhaustive description of all those probabilistic model settings, in which the mathematical and regulatory CTE RM may also reflect the risk perception of a profit-maximizing insurer.”

This research has been peer-reviewed.

For more information on this research see: Can a Regulatory Risk Measure Induce Profit-maximizing Risk Capital Allocations? the Case of Conditional Tail Expectation. Insurance: Mathematics and Economics, 2021;101:425-436. Insurance: Mathematics and Economics can be contacted at: Elsevier, Radarweg 29, 1043 Nx Amsterdam, Netherlands. (Elsevier - www.elsevier.com; Insurance: Mathematics and Economics - http://www.journals.elsevier.com/insurance-mathematics-and-economics/)

Our news journalists report that additional information may be obtained by contacting Nawaf Mohammed, York University, Dept. of Mathematics and Statistics, Toronto, On M3J 1P3, Canada. Additional authors for this research include Edward Furman and Jianxi Su.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.insmatheco.2021.08.012. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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