The Solvency II framework challenges insurers to evaluate and manage their embedded balance sheet risks appropriately. However, insurances hold balance sheet items, for which closed-form solutions and market prices are not available. Pure Monte Carlo valuation requires nested simulations, which...

Solvency II requires insurers to calculate the one-year Value at Risk (VaR) of their balance sheet. This involves the valuation of the balance sheet in one years time. As for insurance liabilities closed-form solutions to their value are generally not available, insurers turn to estimation...

This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under dependent innovations. We introduce a novel recursive-design residual block bootstrap procedure to accurately quantify the uncertainty around parameter estimates and volatility...