Model Risk And Determination Of Solvency Capital In The Solvency 2 Framework
AbstractThis 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.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00625709.
Date of creation: 04 Jul 2011
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Publication status: Published, International Review of Applied Financial Issues and Economics, 2011, 3, 2, 1:25
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Solvency; extreme values;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-01 (All new papers)
- NEP-BAN-2011-10-01 (Banking)
- NEP-RMG-2011-10-01 (Risk Management)
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