Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets

DOI10.1007/S13385-020-00235-0MaRDI QIDQ2219623zbMATH OpenOpenAlexFDO

Authors Saeed Asadi, Mazin A. M. Al Janabi

Publication date 20 January 2021

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-020-00235-0

zbMATH Keywords

bond riskcredit riskequity riskGJR-EVT-copulainsuranceinternal modelsmarket riskrisk managementSolvency IIspread riskstandard models

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Credit risk (91G40) Financial networks (including contagion, systemic risk, regulation) (91G45)

Recommendations

• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• Topical modelling issues in Solvency II
• Tools of construction of internal models for insurances and banks
• Solvency II: stability problems with the SCR aggregation formula
• Solvency II solvency capital requirement for life insurance companies based on expected shortfall

Cites work

• A theory of the term structure of interest rates
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Copula approaches for modeling cross-sectional dependence of data breach losses
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• Multi-level risk aggregation
• Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
• Pair-copula constructions of multiple dependence
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• Residual life time at great age
• Solvency
• Statistical inference using extreme order statistics
• The shifting dependence dynamics between the G7 stock markets
• The Solvency II square-root formula for systematic biometric risk

Cited in

(6)

• A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL
• Signature-based validation of real-world economic scenarios
• Identifying scenarios for the own risk and Solvency assessment of insurance companies
• \texttt{openIRM}: publicly accessible internal risk model of an artificial life insurer for analyzing and benchmarking actuarial methods in the Solvency II setting

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