New risk-based capital standars in the European Union : a proposal based on empirical data

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      <subfield code="a">New risk-based capital standars in the European Union</subfield>
      <subfield code="b">: a proposal based on empirical data</subfield>
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      <subfield code="a">In response to criticism concerning the current solvency system, the European Commision  is developing new rules for insurance companies operating in the members states of the European Union (EU). Under this so-called Solvency II concept, an insurer is allowed to verify its solvency using an internal risk management model previously approved by the regulatory authority. In this article we develop such an internal risk management approach for property- liability insurers that is based on dynamic finantial analysis (DFA). The proposed concept uses a simulation technique and models the central risk factors from the investment and underwriting areas of an insurance company. On the basis of the data provided by a German insurer, the ruin probalities under different scenarios and varying planning horizons are calculated </subfield>
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      <subfield code="t">Risk management and insurance review</subfield>
      <subfield code="d">New York : The American Risk and Insurance Association</subfield>
      <subfield code="g">Vol. 7, nº 1 Spring 2004 ; p. 41-52</subfield>
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