We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions—in particular, real-time risk …

Standard risk management approaches fail to consider parameter uncertainty, which has led to improper risk management …