Solvency II solvency capital requirement for life insurance companies based on expected shortfall

This paper examines the consequences for a life annuity insurance company if the solvency II solvency capital requirements (SCR) are calibrated based on expected shortfall (ES) instead of value-at-risk (VaR). We focus on the risk modules of the SCRs for the three risk classes equity risk, interest r...

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Detalles Bibliográficos
Autor principal: Boonen, Tim J.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2017
Materias:
Original Research Paper
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5744639/
https://www.ncbi.nlm.nih.gov/pubmed/29323358
http://dx.doi.org/10.1007/s13385-017-0160-4

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5744639/
https://www.ncbi.nlm.nih.gov/pubmed/29323358
http://dx.doi.org/10.1007/s13385-017-0160-4

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