A first look back : model performance under Solvency II

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      <subfield code="a">A first look back</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="g">15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 307-315</subfield>
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