Solvency II is not risk-based -- could it be? Evidence from non-life calibrations

DOI10.1080/10920277.2017.1421473MaRDI QIDQ4689969zbMATH OpenOpenAlexWikidataFDO

Authors Sylvestre Frezal

Publication date 22 October 2018

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2017.1421473

zbMATH Keywords

non-life insurancepremiumreserving risksSolvency II

Mathematics Subject Classification ID

Recommendations

• Fundamental definition of the solvency capital requirement in Solvency II
• Solvency II – towards a new insurance supervisory system in the EU
• Solvency II, or how to sweep the downside risk under the carpet
• On the calculation of the solvency capital requirement based on nested simulations
• The standard formula of Solvency II: a critical discussion

Cites work

• Bounds for joint portfolios of dependent risks
• Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
• Robustness and Complex Data Structures
• Solvency II: stability problems with the SCR aggregation formula

Cited in

(4)

• Solvency II, or how to sweep the downside risk under the carpet
• Solvency II – towards a new insurance supervisory system in the EU
• Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test
• The standard formula of Solvency II: a critical discussion

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