Search Results - subject:"Standard Formula"

Revisiting calibration of the solvency II standard formula for mortality risk: Does the standard stress scenario provide an adequate approximation of value-at-risk?

Gylys, Rokas; Šiaulys, Jonas - In: Risks 7 (2019) 2, pp. 1-24

determined using Solvency II Standard Formula. In particular, two approaches to calculate Value-at-Risk are analyzed: one … formula. Overall, we found that Solvency II Standard Formula on average delivers an adequate capital requirement, however, we …

Persistent link: https://www.econbiz.de/10013200476

Revisiting calibration of the solvency II standard formula for mortality risk : does the standard stress scenario provide an adequate approximation of value-at-risk?

Gylys, Rokas; Šiaulys, Jonas - In: Risks : open access journal 7 (2019) 2/58, pp. 1-24

Persistent link: https://www.econbiz.de/10012019003

The Solvency II Standard Formula, linear geometry, and diversification

Paulusch, Joachim - In: Journal of Risk and Financial Management 10 (2017) 2, pp. 1-12

The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it … variance-covariance based risk analysis. Considering the Solvency II Standard Formula from the viewpoint of linear geometry, we … framework given by the Solvency II Standard Formula. This gives rise to the definition of diversification functions, which we …

Persistent link: https://www.econbiz.de/10011843289

The Solvency II Standard Formula, linear geometry, and diversification

Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10011669008

An effective equity model allowing long term investments within the framework of Solvency II

Majri, Mohamed; Lauzon, François-Xavier De - HAL - 2013

We propose an effective equity model adapted for medium term and long term risk assessment. One of its specific aspects is to allow an asymetrical dampening of the equity risk (called the dampener effect) conditional to the cyclical level of equity prices and to enable accurate Value At Risk...

Persistent link: https://www.econbiz.de/10010899661

Solvency assessment within the ORSA framework: issues and quantitative methodologies

Vedani, Julien; Devineau, Laurent - HAL - 2012

The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In...

Persistent link: https://www.econbiz.de/10010899704

Solvency capital requirement for German unit-linked insurance products

Kochanski, Michael - In: German Risk and Insurance Review (GRIR) 6 (2010) 2, pp. 33-70

insurance products still dominate the portfolios of life insurance companies, discussions about the standard formula for … the solvency capital requirement for innovative life insurance products within the standard formula has yet to occur. This …

Persistent link: https://www.econbiz.de/10010311177

Solvency capital requirement for German unit-linked insurance products

Kochanski, Michael - In: German Risk and Insurance Review (GRIR) 6 (2010) 2, pp. 33-70

Persistent link: https://www.econbiz.de/10010984676