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A first look back : model performance under Solvency II

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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20110010232‎$a‎Korn, Ralf
24510‎$a‎A first look back‎$b‎: model performance under Solvency II‎$c‎Ralf Korn and Gerhard Stahl
520  ‎$a‎We 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
650 4‎$0‎MAPA20080564254‎$a‎Solvencia II
650 4‎$0‎MAPA20080570422‎$a‎Renta variable
650 4‎$0‎MAPA20080590567‎$a‎Empresas de seguros
650 4‎$0‎MAPA20080545932‎$a‎Análisis
650 4‎$0‎MAPA20080627904‎$a‎Ciencias Actuariales y Financieras
7001 ‎$0‎MAPA20220002165‎$a‎Stahl , Gerhard
7730 ‎$w‎MAP20220007085‎$g‎15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 307-315‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022
856  ‎$u‎https://link.springer.com/article/10.1007/s13385-023-00374-0