Schmeiser, Hato; Siegel, Caroline; Wagner, Joël - In: Journal of Risk Finance 13 (2012), pp. 285-308
Purpose – The purpose of this paper is to study the risk of misspecifying solvency models for insurance companies. Design/methodology/approach – Based on a basic solvency model, the authors examine the sensitivity of different risk measures with respect to model misspecification. An analysis...