Gatzert, Nadine (contributor); Schmeiser, Hato (contributor) - 2007
-life
insurers that satisfy solvency capital requirements imposed by regulatory authori-
ties. In particular, we compare “target … capital” derived using the “value at risk”
concept as planned for Solvency II in the European Union with the “tail value at …
risk” concept as required by the Swiss Solvency Test. The model framework uses
Merton’s jump-diffusion process for the …