A Solution for solvency II quantitative requirements modeling with long-tail liabilities

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<dc:date>2015-07-06</dc:date>
<dc:description xml:lang="es">Sumario: The 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/153207.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Solution for solvency II quantitative requirements modeling with long-tail liabilities</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/07/2015 Tomo 19 Número 2 - 2015 </dc:relation>
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