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Risk measures and capital requirements : a critique of the Solvency II approach

Floreani, Alberto - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 2, pp. 189-212

Persistent link: https://www.econbiz.de/10009752627

Basis risk, procyclicality, and systemic risk in the Solvency II equity risk module

Eling, Martin; Pankoke, David836228189 - 2013

Persistent link: https://www.econbiz.de/10010410034

Investigating risk disclosure practices in the European insurance industry

Höring, Dirk; Gründl, Helmut - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 3, pp. 380-413

Persistent link: https://www.econbiz.de/10009316257

Economic neutral position : how to best replicate not fully replicable liabilities?

Kunz, Andreas; Popp, Markus - In: Insurance / Mathematics & economics 96 (2021), pp. 53-67

Persistent link: https://www.econbiz.de/10012482749

One-year premium risk and emergence pattern of ultimate loss based on conditional distribution

Delong, Łukasz; Szatkowski, Marcin - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 479-511

Persistent link: https://www.econbiz.de/10012243376

Longevity trend risk over limited time horizons

Richards, Stephen J.; Currie, Iain D.; Kleinow, Torsten; … - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 2, pp. 262-277

Persistent link: https://www.econbiz.de/10012307355

Systemic risk in financial risk regulation

Cipra, Tomáš; Hendrych, Radek - In: Finance a úvěr 67 (2017) 1, pp. 15-38

Persistent link: https://www.econbiz.de/10011720685

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

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...

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

On the modelling of nested risk-neutral stochastic processes with applications in insurance

Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, … - In: Applied mathematical finance 24 (2017) 3/4, pp. 302-336

Persistent link: https://www.econbiz.de/10011815235

Solvency II, or how to sweep the downside risk under the carpet

Weber, Stefan - In: Insurance / Mathematics & economics 82 (2018), pp. 191-200

Persistent link: https://www.econbiz.de/10011929871