IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

The Relevance of Portfolio Management Action for Solvency Measurement

Listed author(s):
  • Alexander König


    (Swiss Re, Mythenquai 50/60, Zurich 8022, Switzerland.)

  • Axel Brohm


    (Industrial Risk Insurer – Swiss Reinsurance Company, Mythenquai 50/60, Zurich 8022, Switzerland.)

Registered author(s):

    Solvency II aims at capturing the true risk landscape of an insurer with immediate consequences for the regulatory capital required. One key element of every risk management approach is the so-called reversibility option available to the insurer's management that involves the change of a decision taken in the past in order to adapt to a modified risk landscape. This paper analyses the effects of simple strategies formulated by the insurer's management in an ex ante setting and carried out during the solvency assessment period on the Value at Risk (VaR) of a two-stock portfolio. We show that the effect of even simple strategies is non-negligible for the portfolio's VaR and hence for the required capital when using an internal model under Solvency II. The issue discussed affects both Pillars I and II of Solvency II and will therefore be one focal point of discussion between insurers and regulators when reviewing internal models. The Geneva Papers (2008) 33, 440–463. doi:10.1057/gpp.2008.18

    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:
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.

    File URL:
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Palgrave Macmillan & The Geneva Association in its journal The Geneva Papers on Risk and Insurance Issues and Practice.

    Volume (Year): 33 (2008)
    Issue (Month): 3 (July)
    Pages: 440-463

    in new window

    Handle: RePEc:pal:gpprii:v:33:y:2008:i:3:p:440-463
    Contact details of provider: Web page:


    Route de Malagnou 53, CH - 1208 Geneva

    Phone: +41-22 707 66 00
    Fax: +41-22 736 75 36
    Web page:

    More information through EDIRC

    Order Information: Web:

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

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

    When requesting a correction, please mention this item's handle: RePEc:pal:gpprii:v:33:y:2008:i:3:p:440-463. 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: (Sonal Shukla)

    or (Rebekah McClure)

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.