Internal Models And Solvency Ii
DOWNLOAD
Download Internal Models And Solvency Ii PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Internal Models And Solvency Ii book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Internal Models And Solvency Two
DOWNLOAD
Author : Paolo Cadoni
language : en
Publisher:
Release Date : 2014
Internal Models And Solvency Two written by Paolo Cadoni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Risk (Insurance) categories.
Under the Solvency II directive, insurance companies are required to calculate their Solvency Capital Requirement (SCR) in order to prove to supervisors, policyholders and beneficiaries that they have a high enough level of funds to absorb significant losses and to make payments as they fall due. They have a choice between a standard formula and an internal model in calculating their SCR. Many companies favour internal models as they are more risk-sensitive, capture individual risk profiles and therefore reduce the capital requirements placed on insurance companies by Solvency II. However, internal models are subject to approval by supervisory bodies. Insurance companies need to demonstrate that their internal model meets the use test, statistical quality standards, calibration standards, validation standards and documentation standards. Internal Models and Solvency II clarifies the requirements for practitioners and senior executives by providing regulatory and practical insight into internal models. Perspectives from both the supervisory and industry side gives unique insight into the spirit and rationale of the requirements, and are complemented by practical solutions to the daily challenges faced when reviewing and implementing internal models. Edited by Paolo Cadoni, currently Technical Head of the Insurance Policy Department at the Prudential Regulation Authority, this book provides support and solutions for the managers charged with implementing and validating their companies' internal models, helping readers to ensure the compliance of their models. Insurance supervisors will also be able to use this book to clarify the requirements when reviewing internal model applications. Internal Models and Solvency II gives readers a wider understanding of the history, challenges, philosophy, and future prospects of Solvency II internal models
Solvency Ii A Comparison Of The Standard Model With Internal Models To Calculate The Solvency Capital Requirements Scr
DOWNLOAD
Author : Shahrok Shedari
language : en
Publisher: GRIN Verlag
Release Date : 2016-09-14
Solvency Ii A Comparison Of The Standard Model With Internal Models To Calculate The Solvency Capital Requirements Scr written by Shahrok Shedari and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-14 with Business & Economics categories.
Master's Thesis from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: -, University of Frankfurt (Main), language: English, abstract: The Solvency II Directive, which will come into effect from January 2016, is a very important project of the European insurance industry. It will set new rules to the European insurance business. Because of being the biggest insurance market of the world - European insurers generate more than € 1,100 bn p.a. and invest around € 8,600 bn in the economy - the new directive will also act as a signal for the worldwide regulation of insurance companies. So it is also intended to have a framework, which is in line with the international developments in solvency, risk management, supervisory and accounting. After 15 years of planning and development the regulation is now implemented step-by-step. The aim of the EU Solvency II Directive is to prevent insurers from becoming insolvent. For this purpose, among other things, a uniform capital adequacy for all European insurance companies is provided. Core of the proposed amendments with respect to the investment is that eligible capital at any time must be higher than the calculated risk. One of the main parts of the Solvency II project is the determination of the capital requirements. The idea is to asses both the assets and the liabilities with the aim of a more realistic modelling and assessments of the risk to which an insurer may be exposed to. The solvency capital requirements (SCR) for an one year horizon is then calculated on the 99.5% Value-at-Risk. The determined SCR answers the question how much capital is required today to cover losses, which may occur during the next 12 months, with a probability of 99.5%. For the calculation of the SCR the insurer can choose between standard model, internal models or a hybrid model. Since internal models allow a better assessment of the companies risk than the standard model, insurers are encouraged to implement such stochastic internal models. But the implementation of internal model is as well costly as sophisticated. That is why the European Commission with support of the Committee of Insurance and Occupational Pension Supervisors (CEIOPS) has established a scenario based standard model. The standard model defines in a first step different sub modules (e.g. market risk, operational risk) for which the capital requirements are calculated. The different SCR’s are “then aggregated under the assumption of a multivariate normal distribution with prespecified correlation matrices to allow for diversification effects”. [...]
Internal Models And Solvency Ii
DOWNLOAD
Author : Paolo Cadoni
language : en
Publisher:
Release Date : 2014
Internal Models And Solvency Ii written by Paolo Cadoni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Risk (Insurance) categories.
Executive S Guide To Solvency Ii
DOWNLOAD
Author : David Buckham
language : en
Publisher: John Wiley & Sons
Release Date : 2010-09-23
Executive S Guide To Solvency Ii written by David Buckham and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-23 with Business & Economics categories.
A straightforward guide to the evolution, benefits, and implementation of Solvency II Providing a guide to the evolution, practice, benefits, and implementation of Solvency II, Executive′s Guide to Solvency II deftly covers this major European regulation which ensures that insurers can meet their risk–based liabilities over a one–year period to a 99.5% certainty. Part of the Wiley and SAS Business series, this book will guide you through Solvency II, especially if you need to understand the subtleties of Solvency II and risk–based capital in basic business language. Among the topics covered in this essential book are: Background to Solvency II Learning from the Basel Approach The Economic Balance Sheet Internal Models People, Process, and Technology Business Benefits of Solvency II Executive′s Guide to Solvency II has as its aim an explanation for executives, practitioners, consultants, and others interested in the Solvency II process and the implications thereof, to understand how and why the directive originated, what its goals are, and what some of the complexities are. There is an emphasis on what in practice should be leveraged upon to achieve implementation, specifically data, processes, and systems, as well as recognition of the close alignment demanded between actuaries, the risk department, IT, and the business itself.
Solvency Ii In The Insurance Industry
DOWNLOAD
Author : Maria Heep-Altiner
language : en
Publisher: Springer
Release Date : 2019-02-22
Solvency Ii In The Insurance Industry written by Maria Heep-Altiner and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-22 with Business & Economics categories.
This book illustrates the EU-wide Solvency II framework for the insurance industry, which was implemented on January 1, 2016, after a long project phase. Analogous to the system for banks, it is based on three pillars and the authors analyze the complete framework pillar by pillar with a consistent data model for a non-life insurer, which was developed by the Research Group Financial & Actuarial Risk Management (FaRis) at the Institute for Insurance Studies of the TH Köln - University of Applied Sciences. The book leverages the long-standing and close cooperation between the University of Limerick (Ireland) and the Institute for Insurance Studies at TH Köln - University of Applied Sciences (Germany).
Solvency
DOWNLOAD
Author : Arne Sandstrom
language : en
Publisher: CRC Press
Release Date : 2005-09-19
Solvency written by Arne Sandstrom and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-09-19 with Business & Economics categories.
Until now there were no published analyses of the recent solvency work conducted in Europe, specifically the risk categories proposed by the International Actuarial Association (IAA). Answering the insurance industry's demand in the wake of the EU Solvency II project, Solvency: Models, Assessment and Regulation provides a concrete summary and revie
Testing Interest Rate Models For Solvency Ii Applications
DOWNLOAD
Author : Vladimir Ostrovski
language : en
Publisher:
Release Date : 2016
Testing Interest Rate Models For Solvency Ii Applications written by Vladimir Ostrovski and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Interest rates are one of the main risk factors for insurance companies. Both assets and liabilities react to the movement of interest rates. Therefore, it is essential to have an adequate model of interest rates for Solvency II applications. Here, we address some of the existing issues under the Solvency II framework, and take a deeper look at internal models for interest rates and the ways in which it can be demonstrated that these models are fit for purpose.
Approaches And Techniques To Validate Internal Model Results
DOWNLOAD
Author : Michel M. Dacorogna
language : en
Publisher:
Release Date : 2017
Approaches And Techniques To Validate Internal Model Results written by Michel M. Dacorogna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The development of risk model for managing portfolio of financial institutions and insurance companies require both from the regulatory and management points of view a strong validation of the quality of the results provided by internal risk models. In Solvency II for instance, regulators ask for independent validation reports from companies who apply for the approval of their internal models.Unfortunately, the usual statistical techniques do not work for the validation of risk models as we lack enough data to significantly test the results of the models. We will certainly never have enough data to statistically estimate the significance of the VaR at a probability of 1 over 200 years, which is the risk measure required by Solvency II. Instead, we need to develop various strategies to test the reasonableness of the model.In this paper, we review various ways, management and regulators can gain confidence in the quality of models. It all starts by ensuring a good calibration of the risk models and the dependencies between the various risk drivers. Then applying stress tests to the model and various empirical analysis, in particular the probability integral transform, we build a full and credible framework to validate risk models.
Solvency Ii
DOWNLOAD
Author : Ms Gabrielle O'Donovan
language : en
Publisher: Gower Publishing, Ltd.
Release Date : 2014-08-28
Solvency Ii written by Ms Gabrielle O'Donovan and has been published by Gower Publishing, Ltd. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-28 with Business & Economics categories.
As the deadline for Solvency II approaches, affected entities will find implementing the required policies into everyday practices becomes a major focus. The second edition of Solvency II: Stakeholder Communications and Change, explains how to prepare for and negate the associated risks. Gabrielle O'Donovan uses her research and the latest industry developments to demonstrate how to approach stakeholder communications and change management in a structured and disciplined way, framed by the EU Directive's governance requirements. She shows how to use a variety of tools and techniques to engage people with change and embed new ways of doing things. She also reveals how to entrench risk consciousness into your culture, helping you secure Solvency II approval and operate successfully in the Solvency II world.
Capital Requirements Disclosure And Supervision In The European Insurance Industry
DOWNLOAD
Author : M. Starita
language : en
Publisher: Springer
Release Date : 2015-12-17
Capital Requirements Disclosure And Supervision In The European Insurance Industry written by M. Starita and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-17 with Business & Economics categories.
Capital Requirements, Disclosure, and Supervision in the European Insurance Industry provides an in-depth analysis of Solvency II's issues by combining both a theoretical approach and evidence of the empirical implications and effects on the European insurance industry.