Risk measures and solvency — Special Issue

Restricted Coherent Risk Measures and Actuarial Solvency

Solvency capital, risk measures and comonotonicity: a review

In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. Furthermore we consider the problem of h...

Compositions of Conditional Risk Measures and Solvency Capital

Abstract: In this paper, we consider compositions of conditional risk measures in order to obtain time-consistent dynamic risk measures and determine the solvency capital of a life insurer selling pension liabilities or a pension fund with a single cash-flow at maturity. We first recall the notion of conditional, dynamic and time-consistent risk measures. We link the latter with its iterated pr...

Special Issue

Special Issue

j Abstract After legislative changes in 1978, Italian psychiatry underwent a thorough overhaul, with the gradual closure of all Mental Hospitals. A nation-wide network of Departments of Mental Health now deliver outpatient and inpatient care, but also run semi-residential and residential facilities (the latter with 2.9 beds per 10,000 inhabitants). Hospital care is delivered through small psych...