Advanced Search
MyIDEAS: Login

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

Contents:

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)

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hal.archives-ouvertes.fr/docs/00/62/57/09/PDF/Article_v6_US.pdf
Download Restriction: no

Bibliographic Info

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

as in new window
Length:
Date of creation: 04 Jul 2011
Date of revision:
Publication status: Published, International Review of Applied Financial Issues and Economics, 2011, 3, 2, 1:25
Handle: RePEc:hal:journl:hal-00625709

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00625709/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/

Related research

Keywords: Solvency; extreme values;

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00625709. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.