Model Risk And Determination Of Solvency Capital In The Solvency 2 Framework
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.
|Date of creation:||04 Jul 2011|
|Publication status:||Published in International Review of Applied Financial Issues and Economics, 2011, 3 (2), pp.1:25|
|Note:||View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00625709|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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