A first look back : model performance under Solvency II

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<dc:creator>Korn, Ralf</dc:creator>
<dc:creator>Stahl , Gerhard</dc:creator>
<dc:date>2025-04-15</dc:date>
<dc:description xml:lang="es">Sumario: We consider an empirical backtesting for the Solvency Capital Required (SCR) under Solvency II. Based on empirical facts that the Basic own Funds (BoF) can be assumed to evolve log-normally and have a much lower volatility than the corresponding equity for our test data, we make a proposal based on Earnings at Risk (EaR) that can be used to reduce the biases from overshooting SCR estimates in a prudential way</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/186145.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Solvencia II</dc:subject>
<dc:subject xml:lang="es">Renta variable</dc:subject>
<dc:subject xml:lang="es">Empresas de seguros</dc:subject>
<dc:subject xml:lang="es">Análisis</dc:subject>
<dc:subject xml:lang="es">Ciencias Actuariales y Financieras</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A first look back : model performance under Solvency II</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 307-315</dc:relation>
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