FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II

DOI10.1017/ASB.2014.10zbMath1431.91322OpenAlexW2117764520MaRDI QIDQ5214821

Andreas Niemeyer, Marcus C. Christiansen

Publication date: 5 February 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4029d09a5e4b12239a6d07e8bfe565e8a2baf5f4

zbMATH Keywords

Solvency IIrisk marginsolvency capital requirementdynamic value at riskminimal SCR

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (13)

The impact of insurance premium taxation ⋮ Efficient valuation of SCR via a neural network approach ⋮ Iterated VaR or CTE measures: A false good idea? ⋮ Solvency II solvency capital requirement for life insurance companies based on expected shortfall ⋮ Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework? ⋮ Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances ⋮ Portfolio optimization under Solvency II ⋮ Solvency II, or how to sweep the downside risk under the carpet ⋮ Measuring profitability of life insurance products under Solvency II ⋮ Multi-year analysis of solvency capital in life insurance ⋮ Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement ⋮ Economic scenario generators: a risk management tool for insurance ⋮ TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL

Cites Work

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• Risk margin for a non-life insurance run-off
• Wertorientiertes Risikomanagement von Versicherungsunternehmen
• Multi-Level Risk Aggregation
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