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|
|Date of revision:|
|Publication status:||Published, International Review of Applied Financial Issues and Economics, 2011, 3, 2, 1:25|
|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/|
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 references are entirely missing, you can add them using this form.