A Solution for solvency II quantitative requirements modeling with long-tail liabilities
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| 001 | MAP20150026231 | ||
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| 005 | 20150731150000.0 | ||
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| 245 | 0 | 2 | $aA Solution for solvency II quantitative requirements modeling with long-tail liabilities$cDavid Munroe...[et.al] |
| 520 | $aThe European Parliament¿s Solvency II Directive introduced a new regulation for insurance and reinsurance business designed to establish a consistently improved level of policyholder protection by means of a three-pillar process. Pillar 1 of the directive contains quantitative requirements for the insurance industry in respect to technical provisions (TPs) and the solvency capital requirement (SCR). The cornerstone of Solvency II one-year risk horizon is the Fair Value of Liabilities (FVL). The SCR and Economic Balance Sheet at inception should be able to withstand a first future calendar year in distress (at the level of 1-in-200-year event). We provide a rigorous statistical treatment of the risk metrics required to fulfil Solvency II requirements for internal models applicable to reserve risk with long-tail liabilities. The proposed internal model is novel in not relying on the proportionality proxy. A tractable simulation based solution ensures adequate capital to restore the economic balance sheet to its FVL should the first future calendar year be in distress. | ||
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g06/07/2015 Tomo 19 Número 2 - 2015 | |
| 856 | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |