Revisiting calibration of the solvency II standard formula for mortality risk: Does the standard stress scenario provide an adequate approximation of value-at-risk?
Year of publication: |
2019
|
---|---|
Authors: | Gylys, Rokas ; Šiaulys, Jonas |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 7.2019, 2, p. 1-24
|
Publisher: |
Basel : MDPI |
Subject: | mortality risk | Value-at-Risk | Solvency II | Lee-Carter | standard formula | solvency capital requirement |
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