Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is …. Findings – The solution can be interpreted as the worst-case cost and the economic capital can be found accordingly …. Originality/value – The paper illustrates the methodology of computing the Solvency Capital Requirement using a dynamic cash flow …

Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is …. Findings – The solution can be interpreted as the worst‐case cost and the economic capital can be found accordingly …. Originality/value – The paper illustrates the methodology of computing the Solvency Capital Requirement using a dynamic cash flow …

The replicating portfolio approach is a well-established approach carried out by many life insurance companies within … their Solvency II framework for the computation of risk capital. In this note, we elaborate on one specific formulation of a …

the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance …Purpose – The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of … companies are exposed to in a balance-sheet perspective. In this context, the Solvency Capital Requirement (SCR) standard …

the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance …Purpose – The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of … companies are exposed to in a balance‐sheet perspective. In this context, the Solvency Capital Requirement (SCR) standard …