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Model Risk And Determination Of Solvency Capital In The Solvency 2 Framework

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  • Frédéric Planchet

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Pierre-Emmanuel Thérond

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

This paper investigates the robustness of the Solvency Capital Requirement (SCR) when a log-normal reference model is slightly disturbed by the heaviness of its tail distribution. It is shown that situations with "almost" lognormal data and a rather important variation between the "disturbed" SCR and the reference SCR can be built. The consequences of the estimation errors on the level of the SCR are studied too.

Suggested Citation

  • Frédéric Planchet & Pierre-Emmanuel Thérond, 2011. "Model Risk And Determination Of Solvency Capital In The Solvency 2 Framework," Post-Print hal-00625709, HAL.
    • Handle: RePEc:hal:journl:hal-00625709
    Note: View the original document on HAL open archive server: https://hal.science/hal-00625709
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    Keywords

    Solvency; extreme values;

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