Solvency II solvency capital requirement for life insurance companies based on expected shortfall
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Publication:1689024
DOI10.1007/s13385-017-0160-4zbMath1405.91246OpenAlexW3124455136WikidataQ59518522 ScholiaQ59518522MaRDI QIDQ1689024
Publication date: 12 January 2018
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-017-0160-4
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (6)
Monotone tail functions: definitions, properties, and application to risk-reducing strategies ⋮ Combining multi-asset and intrinsic risk measures ⋮ A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula ⋮ Surplus participation schemes for life annuities under Solvency II ⋮ Generating unfavourable VaR scenarios under Solvency II with patchwork copulas ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
Uses Software
Cites Work
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- FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
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