Fundamental definition of the solvency capital requirement in solvency II

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      <subfield code="a">Christiansen, Marcus C.</subfield>
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      <subfield code="a">Fundamental definition of the solvency capital requirement in solvency II</subfield>
      <subfield code="c">Marcus C. Christiansen, Andreas Niemeyer</subfield>
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      <subfield code="a">It is essential for insurance regulation to have a clear picture of the risk measures that are used. We compare different mathematical interpretations of the Solvency Capital Requirement (SCR) definition from Solvency II that can be found in the literature. We introduce a mathematical modeling framework that enables us to make a mathematically rigorous comparison. The paper shows similarities, differences, and properties such as convergence of the different SCR interpretations. Moreover, we generalize the SCR definition to future points in time based on a generalization of the value at risk. This allows for a sound definition of the Risk Margin. Our study helps to make the Solvency II insurance regulation more consistent.</subfield>
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      <subfield code="a">Niemeyer, Andreas</subfield>
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      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
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      <subfield code="g">01/09/2014 Volumen 44 Número 3 - septiembre 2014 </subfield>
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