This paper examines why a financial entity's solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive...

We present a methodology that allows for the ability to calculate the impact of a given Long-Term Care (LTC) insurance protection system on the risk of incurring extremely large individual lifetime costs. Our proposed methodology is illustrated with a case study. According to our risk measure,...

Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. From the point of view of operational risk, the study aims to...