Topical modelling issues in Solvency II

DOI10.1080/03461230701257098zbMath1164.62086OpenAlexW2090850281MaRDI QIDQ3608223

Berlund Raoul, Ronkainen Vesa, Koskinen Lasse

Publication date: 28 February 2009

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701257098

zbMATH Keywords

model riskrisk measurestochastic modellingSolvency IIinternal modelssolvency capital requirementCEIOPSquantitative impact studies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Related Items (4)

A simulation model for calculating solvency capital requirements for non-life insurance risk ⋮ A bivariate model for evaluating equity-linked policies with surrender option ⋮ A lattice approach to evaluate participating policies in a stochastic interest rate framework ⋮ Robust Eligible Own Funds and Value at Risk Under Solvency II System

Cites Work

• Unnamed Item
• Solvency II – towards a new insurance supervisory system in the EU
• Forecasting Economic Time Series
• Solvency
• Economic Capital Allocation Derived from Risk Measures
• A discussion of parameter and model uncertainty in insurance

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