Quantifying credit and market risk under Solvency II: Standard approach versus internal model
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DOI: 10.1016/j.insmatheco.2012.09.002
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Citations
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Cited by:
- Alexander Braun & Hato Schmeiser & Florian Schreiber, 2017. "Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 177-207, March.
- van Riet, Ad, 2016. "Government Funding Privileges in European Financial Law : Making Public Debt Everybody's Favourite?," Discussion Paper 2016-045, Tilburg University, Center for Economic Research.
- Daniela Laas & Caroline Franziska Siegel, 2017. "Basel III Versus Solvency II: An Analysis of Regulatory Consistency Under the New Capital Standards," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(4), pages 1231-1267, December.
- Lautier, Jackson P. & Pozdnyakov, Vladimir & Yan, Jun, 2023. "Pricing time-to-event contingent cash flows: A discrete-time survival analysis approach," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 53-71.
- Georgios Deligiannakis & Alexandros Zimbidis & Ioannis Papanikolaou, 2023. "Earthquake loss and Solvency Capital Requirement calculation using a fault-specific catastrophe model," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(4), pages 821-846, October.
- Eckert, Johanna & Gatzert, Nadine & Martin, Michael, 2016. "Valuation and risk assessment of participating life insurance in the presence of credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 382-393.
- Michael Heinrich & Thomas Schreck, 2017. "Effects of Solvency II on Portfolio Efficiency, The Case of Real Estate and Infrastructure Investments," LARES lares_2017_paper_8, Latin American Real Estate Society (LARES).
- Jiří Valecký, 2017. "Calculation of Solvency Capital Requirements for Non-life Underwriting Risk Using Generalized Linear Models," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(4), pages 450-466.
- Nadine Gatzert & Thomas Kosub, 2014. "Insurers’ Investment in Infrastructure: Overview and Treatment under Solvency II," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 39(2), pages 351-372, April.
- van Riet, Ad, 2016. "Government Funding Privileges in European Financial Law : Making Public Debt Everybody's Favourite?," Other publications TiSEM b1290139-3e4e-4a2d-a783-9, Tilburg University, School of Economics and Management.
- Schlütter, Sebastian & Fianu, Emmanuel Senyo & Gründl, Helmut, 2022. "Responsible investments in life insurers' optimal portfolios under solvency constraints," ICIR Working Paper Series 45/22, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Schlütter, Sebastian, 2017. "Scenario-based capital requirements for the interest rate risk of insurance companies," ICIR Working Paper Series 28/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
- Aigner, Philipp, 2023. "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series 48/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Eling, Martin & Pankoke, David, 2013. "Basis Risk, Procylicality, and Systemic Risk in the Solvency II Equity Risk Module," Working Papers on Finance 1306, University of St. Gallen, School of Finance.
- Laurens Swinkels & David Blitz & Winfried Hallerbach & Pim Vliet, 2018. "Equity Solvency Capital Requirements - What Institutional Regulation Can Learn from Private Investor Regulation," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(4), pages 633-652, October.
- Christian Biener & Martin Eling, 2013. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2012 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 219-231, September.
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More about this item
Keywords
Solvency II; Internal model; Rating-based credit risk model; Market risk; Credit risk;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation
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