Topical modelling issues in Solvency II

DOI10.1080/03461230701257098MaRDI QIDQ3608223zbMATH OpenOpenAlexFDO

Authors Ronkainen Vesa, Koskinen Lasse, Berlund Raoul

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

CEIOPSinternal modelsmodel riskquantitative impact studiesrisk measuresolvency capital requirementSolvency IIstochastic modelling

Mathematics Subject Classification ID

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

Recommendations

• The Use of Internal Models for Determining Liabilities and Capital Requirements
• Solvency II – towards a new insurance supervisory system in the EU
• Tools of construction of internal models for insurances and banks
• Solvency
• The standard formula of Solvency II: a critical discussion

Cites work

• A discussion of parameter and model uncertainty in insurance
• Economic Capital Allocation Derived from Risk Measures
• Forecasting Economic Time Series
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Solvency
• Solvency II – towards a new insurance supervisory system in the EU

Cited in

(15)

• Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets
• A lattice approach to evaluate participating policies in a stochastic interest rate framework
• Application of Bayesian penalized spline regression for internal modeling in life insurance
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• Solvency II – towards a new insurance supervisory system in the EU
• Tools of construction of internal models for insurances and banks
• A simulation model for calculating solvency capital requirements for non-life insurance risk
• A bivariate model for evaluating equity-linked policies with surrender option
• Interest rate model comparisons for participating products under Solvency II
• A Solution for Solvency II Quantitative Requirements Modeling with Long-Tail Liabilities
• Robust Eligible Own Funds and Value at Risk Under Solvency II System
• Solvency
• The Use of Internal Models for Determining Liabilities and Capital Requirements
• A first look back: model performance under Solvency II
• The standard formula of Solvency II: a critical discussion

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