FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II

DOI10.1017/asb.2014.10zbMath1431.91322MaRDI QIDQ5214821

Andreas Niemeyer, Marcus C. Christiansen

Publication date: 5 February 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/4029d09a5e4b12239a6d07e8bfe565e8a2baf5f4

zbMATH Keywords

Solvency II; risk margin; solvency capital requirement; dynamic value at risk; minimal SCR

Mathematics Subject Classification ID

91G05: Actuarial mathematics

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Iterated VaR or CTE measures: A false good idea?, TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL, Efficient valuation of SCR via a neural network approach, Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances, The impact of insurance premium taxation, Solvency II solvency capital requirement for life insurance companies based on expected shortfall, Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework?, Solvency II, or how to sweep the downside risk under the carpet, Measuring profitability of life insurance products under Solvency II, Multi-year analysis of solvency capital in life insurance, Economic scenario generators: a risk management tool for insurance, Portfolio optimization under Solvency II, Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement

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