Test for changes in the modeled solvency capital requirement of an internal risk model

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Gaigall, Daniel</dc:creator>
<dc:date>2021-09-13</dc:date>
<dc:description xml:lang="es">Sumario: In the context of the Solvency II directive, the operation of an internal risk model is a possible way for risk assessment and for the determination of the solvency capital requirement of an insurance company in the European Union. A Monte Carlo procedure is customary to generate a model output. To be compliant with the directive, validation of the internal risk model is conducted on the basis of the model output. For this purpose, we suggest a new test for checking whether there is a significant change in the modeled solvency capital requirement. Asymptotic properties of the test statistic are investigated and a bootstrap approximation is justified. A simulation study investigates the performance of the test in the finite sample case and confirms the theoretical results. The internal risk model and the application of the test is illustrated in a simplified example. The method has more general usage for inference of a broad class of law-invariant and coherent risk measures on the basis of a paired sample.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/177457.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Solvencia</dc:subject>
<dc:subject xml:lang="es">Simulación Monte Carlo</dc:subject>
<dc:subject xml:lang="es">Estadística</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Test for changes in the modeled solvency capital requirement of an internal risk model</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 13/09/2021 Volumen 51 Número 3 - septiembre 2021 , p. 813-837</dc:relation>
</rdf:Description>
</rdf:RDF>