A first look back: model performance under Solvency II

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.

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Year of publication:	2023
Authors:	Korn, Ralf ; Stahl, Gerhard
Published in:	European Actuarial Journal. - Berlin, Heidelberg : Springer, ISSN 2190-9741. - Vol. 14.2023, 1, p. 307-315
Publisher:	Berlin, Heidelberg : Springer
Subject:	Solvency II \| Backtesting \| Capital requirement

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1007/s13385-023-00374-0 [DOI] hdl:10419/312221 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10015271542