A first look back : model performance under Solvency II

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>A first look back</title>
<subTitle>: model performance under Solvency II</subTitle>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20110010232">
<namePart>Korn, Ralf</namePart>
<nameIdentifier>MAPA20110010232</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20220002165">
<namePart>Stahl , Gerhard</namePart>
<nameIdentifier>MAPA20220002165</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">che</placeTerm>
</place>
<dateIssued encoding="marc">2025</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Ralf Korn and Gerhard Stahl</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570422">
<topic>Renta variable</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080590567">
<topic>Empresas de seguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080545932">
<topic>Análisis</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080627904">
<topic>Ciencias Actuariales y Financieras</topic>
</subject>
<classification authority="">214</classification>
<location>
<url displayLabel="electronic resource" usage="primary display">https://link.springer.com/article/10.1007/s13385-023-00374-0</url>
</location>
<relatedItem type="host">
<titleInfo>
<title>European Actuarial Journal</title>
</titleInfo>
<originInfo>
<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
</originInfo>
<identifier type="local">MAP20220007085</identifier>
<part>
<text>15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 307-315</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">240830</recordCreationDate>
<recordChangeDate encoding="iso8601">20240830132034.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20240013592</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>