Handbook of solvency for actuaries and risk managers. Theory and practice.

MaRDI QIDQ3060311zbMATH OpenFDO

Authors Arne Sandström

Publication date 2 December 2010

zbMATH Keywords

capital requiremententerprise risk managementrisk managementSolvency IIstandard formula

Mathematics Subject Classification ID

General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to game theory, economics, and finance (91-00) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Solvency
• Financial modeling, actuarial valuation and solvency in insurance
• Market-consistent actuarial valuation
• Life insurance risk management essentials
• Tools of construction of internal models for insurances and banks

Cited in

(25)

• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Risk aggregation in Solvency II through recursive log-normals
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
• Construction of an economic balance sheet and solvency capital requirement calculation in Solvency 2
• Multiple risk factor dependence structures: copulas and related properties
• The Solvency II square-root formula for systematic biometric risk
• Sensitivity analysis of some applied probability models
• The use of flexible quantile-based measures in risk assessment
• Handbook of Insurance
• New copulas based on general partitions-of-unity and their applications to risk management
• A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
• Background risk models and stepwise portfolio construction
• Solvency II: stability problems with the SCR aggregation formula
• Tools of construction of internal models for insurances and banks
• Value-oriented risk management of insurance companies. Translated from the German by Patrick D. F. Ion.
• Probability of sufficiency of Solvency II reserve risk margins: practical approximations
• Fundamental definition of the solvency capital requirement in Solvency II
• Standard approaches to asset & liability risk**
• Shortcuts for the construction of sub-annual life tables
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
• A new skewness adjustment for Solvency II SCR standard formula
• Robustness regions for measures of risk aggregation
• The standard formula of Solvency II: a critical discussion
• Aggregation-robustness and model uncertainty of regulatory risk measures

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