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How Not to Regulate Insurance Markets : The Risks and Dangers of Solvency II

Persaud, Avinash - 2015

With more than $50 trillion in assets worldwide, investment funds run by the insurance industry and pension system are … harmonizes insurance regulations in Europe, in order to reduce the risk of an insurer defaulting on its obligations and producing …

Persistent link: https://www.econbiz.de/10013017611

Methodological Problems in Solvency Assessment of an Insurance Company

Cocozza, Rosa - 2011

The recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis … profile of an insurance business, taking into account the actual European directives about solvency assessment. The aim of the … provisions related to a portfolio of insurance policies …

Persistent link: https://www.econbiz.de/10013131690

Solvency II Capital with Correlated Risks : Evidence from General Insurance

Bag, Dinabandhu - 2021

This paper examines dependency among the line of business in the non-life insurance industry towards arriving at … insurance firms in India during the period 2001 to 2020. The important insight is the degree of dependency that remain stable …

Persistent link: https://www.econbiz.de/10013323432

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011557140

Hedging brevity risk with mortality-based securities

MacMinn, Richard D.; Richter, Andreas - 2006

security used to hedge the risk is similar to a CAT bond. This work looks at the incentives associated with insurance …

Persistent link: https://www.econbiz.de/10010441547

A Premium and UPR Risk Model in Non-Life Insurance

Siegenthaler, Filippo - 2017

In this paper we present a stochastic model that allows to derive estimators for the Mean Squared Error of Prediction (MSEP) of the one-year uncertainty related to the premium and Unearned Premium Reserve (UPR) risk (as defined according to the modified Swiss Solvency Test methodology outlined...

Persistent link: https://www.econbiz.de/10012967627

Supervisory Accounting : Comparison between Solvency II and Coherent Risk Measures

Eisele, Karl-Theodor - 2012

We examine the ingredients of Solvency II, namely its free capital, provision and solvency capital requirement. They are of course linked by the accounting equality but we claim that they should be more deeply related to each other since solvency naturally should require positivity of available...

Persistent link: https://www.econbiz.de/10013109900

Model Risk of Risk Models

Danielsson, Jon - 2017

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with market uncertainty. During calm periods, the underlying risk forecast models...

Persistent link: https://www.econbiz.de/10012973321

Life Insurer Longevity Risk Management, Solvency and Shareholder Value

Blackburn, Craig - 2013

This paper assesses the impact of longevity risk management on insurer shareholder value and solvency for an annual portfolio. The analysis uses a multi-period stochastic mortality model with both systematic and idiosyncratic longevity risk. We consider both survivor, or longevity, swaps that...

Persistent link: https://www.econbiz.de/10013072540

Benchmarking operational risk models

Curti, Filippo; Ergen, Ibrahim; Le, Minh; Migueis, Marco; … - 2016

The 2004 Basel II accord requires internationally active banks to hold regulatory capital for operational risk, and the Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires banks to project operational risk losses under stressed scenarios. As a result, banks subject to...

Persistent link: https://www.econbiz.de/10011578378