Gatzert, Nadine (contributor); Schmeiser, Hato (contributor) - 2007
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 … requirements are com-
pared using the “value at risk” (Solvency II) and the “tail value at risk” (Swiss
Solvency Test) approaches …