Risk Models for Capital Adequacy: Applications in the Context of Solvency II and Beyond
In the context of the quantitative requirements under pillar 1 of Solvency II, internal risk models quantify a specific company's risk position, that is, measure the risk capital it requires. Because the individual insurance company's situation is modelled, its risk landscape is reflected more accurately than if a standard model approach were used. A brief case study indicates that internal risk models should be used not only to fulfill regulatory requirements, they have to and they do feature more benefits: risk models foster risk management processes; therefore, they are capable of supporting risk-based business decisions. Finally, they constitute a kernel for any risk-based performance measurement framework. The Geneva Papers (2006) 31, 528–550. doi:10.1057/palgrave.gpp.2510095
Year of publication: |
2006
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Authors: | Liebwein, Peter |
Published in: |
The Geneva Papers on Risk and Insurance - Issues and Practice. - Palgrave Macmillan, ISSN 1018-5895. - Vol. 31.2006, 3, p. 528-550
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Publisher: |
Palgrave Macmillan |
Saved in:
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