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The Influence of Seed Selection on the Solvency II Ratio

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  • Quinn Culver
  • Dennis Heitmann
  • Christian Wei{ss}

Abstract

This article contains the first published example of a real economic balance sheet where the Solvency II ratio substantially depends on the seed selected for the random number generator (RNG) used. The theoretical background and the main quality criteria for RNGs are explained in detail. To serve as a gauge for RNGs, a definition of true randomness is given. Quality tests that RNGs should pass in order to generate stable results when used in risk management under Solvency II are described.

Suggested Citation

  • Quinn Culver & Dennis Heitmann & Christian Wei{ss}, 2018. "The Influence of Seed Selection on the Solvency II Ratio," Papers 1801.05409, arXiv.org, revised Feb 2018.
    • Handle: RePEc:arx:papers:1801.05409
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    File URL: http://arxiv.org/pdf/1801.05409
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