A first look back: model performance under Solvency II

DOI10.1007/S13385-023-00374-0zbMATH Open1537.91257MaRDI QIDQ6550189FDOQ6550189

Authors: Ralf Korn, Gerhard Stahl 

Publication date: 4 June 2024

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

Recommendations

• Solvency II solvency capital requirement for life insurance companies based on expected shortfall
• Fundamental definition of the solvency capital requirement in Solvency II
• Robust Eligible Own Funds and Value at Risk Under Solvency II System
• Solvency II: stability problems with the SCR aggregation formula
• Topical modelling issues in Solvency II

zbMATH Keywords

Solvency IIcapital requirementbacktesting

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Cites Work

• The Future of Data Analysis
• Model uncertainty in a holistic perspective
• Value-at-risk forecasts under scrutiny—the German experience

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