A first look back: model performance under Solvency II

DOI10.1007/S13385-023-00374-0MaRDI QIDQ6550189zbMATH OpenFDO

Authors Ralf Korn, Gerhard Stahl

Publication date 4 June 2024

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

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

Solvency IIcapital requirementbacktesting

Mathematics Subject Classification ID

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

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

Cites work

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

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