Tailoring internal models

Risk models

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Internal risk models for insurance1 companies have been the focus of increased attention lately. Now, driven partly by developments in the banking industry2, insurance regulators and rating agencies have started thinking aloud about the possibility of assessing the capital adequacy of an individual company by allowing it to use its own internal risk models. This article focuses on the main features internal risk models should have, and on explaining what their limitations are.

Internal models

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