The Solvency II Standard Formula, Linear Geometry, and Diversification
نویسندگان
چکیده
منابع مشابه
The Solvency II Square-Root Formula for Systematic Biometric Risk
In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we can obtain expressions similar to the square-root formula in Solvency II by means of limited expansions around the best estimate. Numerical illustrations are given, based on German population data. Even...
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The insurance industry needs to be regulated to protect policyholders. This is the main objective of the Solvency II directive – the new insurance regulations for the European Economic Area. In short, it requires insurance companies to act responsibly with the money they have been entrusted with. It is estimated that implementing Solvency II will cost 2-3 billion Euro. It has the potential to c...
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چکیده ندارد.
15 صفحه اولSolvency II for property-casualty insurers (II)
be geared to modern requirements. Unlike the present solvency regime, Solvency II is designed to reflect a prospective and risk-oriented economic view. It will be based on a total balance sheet approach and harmonised with accounting rules and regulations. Assets and liabilities will consistently be recognised at market values. In principle, IFRS provisions can be used as a basis for valuing th...
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In general, the capital requirement under Solvency II is determined as the 99.5% Value-at-Risk of the Available Capital. In the standard model’s longevity risk module, this Value-at-Risk is approximated by the change in Net Asset Value due to a pre-specified longevity shock which assumes a 25% reduction of mortality rates for all ages. We analyze the adequacy of this shock by comparing the resu...
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ژورنال
عنوان ژورنال: Journal of Risk and Financial Management
سال: 2017
ISSN: 1911-8074
DOI: 10.3390/jrfm10020011