Centro de Documentacion de Fundación MAPFRE - A first look back : model performance under Solvency II

Notas: Sumario: 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 wayRegistros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 307-315Materia / lugar / evento: Solvencia II Renta variable Empresas de seguros Análisis Ciencias Actuariales y Financieras Otros autores: Stahl , Gerhard
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