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


Author Info

  • Frédéric Planchet

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Pierre-Emanuel Thérond

    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)


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.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00625709.

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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
Handle: RePEc:hal:journl:hal-00625709

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Related research

Keywords: Solvency; extreme values;

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