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Currency Risk in Capital Adequacy

Authors: Pablo Koch-Medina; Enrique Loubet;

Currency Risk in Capital Adequacy

Abstract

In this paper we analyze currency risk for an insurance company in the context of capital adequacy. We discuss the difference between translation and structural currency risk and show how a zero-currency-risk benchmark can be chosen in a natural way. We show that by aggregating risk in a particular artificial currency, a currency basket, translation risk can be eliminated and the capital position of the insurer can be decomposed in a way that makes the calculation of currency risk tractable.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
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