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A first look back : model performance under Solvency II

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<title>A first look back</title>
<subTitle>: model performance under Solvency II</subTitle>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20110010232">
<namePart>Korn, Ralf</namePart>
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<namePart>Stahl , Gerhard</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Ralf Korn and Gerhard Stahl</note>
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<topic>Solvencia II</topic>
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<topic>Renta variable</topic>
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<topic>Empresas de seguros</topic>
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<topic>Análisis</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080627904">
<topic>Ciencias Actuariales y Financieras</topic>
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<classification authority="">214</classification>
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<url displayLabel="electronic resource" usage="primary display">https://link.springer.com/article/10.1007/s13385-023-00374-0</url>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 307-315</text>
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