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Scenario-based capital requirements for the interest rate risk of insurance companies
Schlütter, Sebastian - 2017
The Solvency II standard formula measures interest rate risk based on two stress scenarios which are supposed to reflect the 1-in-200 year event over a 12-month time horizon. The calibration of these scenarios appears much too optimistic when comparing them against historical yield curve...
Persistent link: https://www.econbiz.de/10011651136
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Identifying scenarios for the own risk and solvency assessment of insurance companies
Aigner, Philipp - 2023
Most insurers in the European Union determine their regulatory capital requirements based on the standard formula of Solvency II. However, there is evidence that the standard formula inaccurately reflects insurers’ risk situation and may provide misleading steering incentives. In the second...
Persistent link: https://www.econbiz.de/10014252282
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Scenario-based capital requirements for the interest rate risk of insurance companies
Schlütter, Sebastian - 2017
The Solvency II standard formula measures interest rate risk based on two stress scenarios which are supposed to reflect the 1-in-200 year event over a 12-month time horizon. The calibration of these scenarios appears much too optimistic when comparing them against historical yield curve...
Persistent link: https://www.econbiz.de/10011655488
Cover Image
Identifying scenarios for the own risk and solvency assessment of insurance companies
Aigner, Philipp - 2023
Most insurers in the European Union determine their regulatory capital requirements based on the standard formula of Solvency II. However, there is evidence that the standard formula inaccurately reflects insurers' risk situation and may provide misleading steering incentives. In the second...
Persistent link: https://www.econbiz.de/10014282692
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The effects of Contingent Convertible (CoCo) bonds on insurers' capital requirements under solvency II
Niedrig, Tobias; Gründl, Helmut - 2015
in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …
Persistent link: https://www.econbiz.de/10010507672
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The effects of contingent convertible (CoCo) bonds on insurers' capital requirements under Solvency II
Niedrig, Tobias; Gründl, Helmut - 2015 - This version: March 2015
in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …
Persistent link: https://www.econbiz.de/10010502713
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The effects of Contingent Convertible (CoCo) bonds on insurers' capital requirements under solvency II
Niedrig, Tobias; Gründl, Helmut - 2015 - This version: February 2015
in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …
Persistent link: https://www.econbiz.de/10010510055
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Making the square-root formula compatible with capital allocation
Paulusch, Joachim; Schlütter, Sebastian - 2019 - This version: 30th April 2019
-life insurance risk and default risk to determine the company's aggregate capital requirement. To support decision-making, companies …
Persistent link: https://www.econbiz.de/10011993595
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The effects of Contingent Convertible (CoCo) bonds on insurers' capital requirements under solvency II
Niedrig, Tobias; Gründl, Helmut - Research Center SAFE (Sustainable Architecture for … - 2015
in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …
Persistent link: https://www.econbiz.de/10011265982
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The effects of contingent convertible (CoCo) bonds on insurers' capital requirements under Solvency II
Niedrig, Tobias; Gründl, Helmut - International Center for Insurance Regulation, House of … - 2015
in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …
Persistent link: https://www.econbiz.de/10011265986