Solvency II: stability problems with the SCR aggregation formula

DOI10.1080/03461230701766825MaRDI QIDQ3608236zbMATH OpenOpenAlexFDO

Authors Dietmar Pfeifer, Doreen Strassburger

Publication date 28 February 2009

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

Full work available at URL https://doi.org/10.1080/03461230701766825

zbMATH Keywords

symmetryskewnesscopulascalibrationSolvency IISCR

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Solvency

Cited in

(20)

• Hierarchical structures in the aggregation of premium risk for insurance underwriting
• Risk aggregation in non-life insurance: standard models vs. internal models
• Fundamental definition of the solvency capital requirement in Solvency II
• Practical aspects of the aggregation of two risks in the Solvency II standard formula
• Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets
• Robust evaluation of SCR for participating life insurances under Solvency II
• Signs of dependence and heavy tails in non-life insurance data
• Solvency II is not risk-based -- could it be? Evidence from non-life calibrations
• Portfolio optimization under Solvency II
• The Solvency II square-root formula for systematic biometric risk
• Concave distortion risk minimizing reinsurance design under adverse selection
• Copula based hierarchical risk aggregation through sample reordering
• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• Risk aggregation in Solvency II through recursive log-normals
• Multi-level risk aggregation
• Solvency II solvency capital requirement for life insurance companies based on expected shortfall
• Solvency II reporting: how to interpret funds' aggregate solvency capital requirement figures
• Quantifying credit and market risk under Solvency II: standard approach versus internal model
• Holistic principle for risk aggregation and capital allocation
• A first look back: model performance under Solvency II

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Uses Software

• QRM

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