Use of Value-at-Risk for the Quantification of Risks in Insurance

Authors

  • EL ARIF Fatima Zahra Department of Economics and Management, Research team on Finance, Economic policies, and Business competitiveness Center of Doctoral Studies, University Mohammed V, Rabat, Morocco

DOI:

https://doi.org/10.18488/journal.67/2014.1.1/67.1.30.38

Keywords:

Value-at-risk, Conditional value-at-risk, Method of generalized scenarios, Insurance, Risk measurement, Alternative measures

Abstract

Value-at-Risk has become a standard for managing risk in the financial world. The purpose of this article is to specify the conditions under which the VaR could be a good measure of risk asset in insurance. After the description of the main approaches to calculating VaR currently employed in the insurance industry, we will indicate the specific financial management in insurance. We then present the necessary changes in VaR and its limitations, and alternatives to VaR for risk calculation (Method of generalized scenarios, CVaR).

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Published

2014-06-16

Issue

Vol. 1 No. 1 (2014)

Section

Articles

How to Cite

Use of Value-at-Risk for the Quantification of Risks in Insurance. (2014). Review of Knowledge Economy, 1(1), 30-38. https://doi.org/10.18488/journal.67/2014.1.1/67.1.30.38