scholarly journals Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement

2009 ◽  
Author(s):  
Frederique Bec ◽  
Christian Gollier
Keyword(s):  
At Risk ◽  
Term Structure ◽  
Value At Risk ◽  
Capital Requirement ◽  
Solvency Capital Requirement ◽  
Solvency Capital

FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II

2014 ◽  
Vol 44 (3) ◽  
pp. 501-533 ◽  
Author(s):  
Marcus C. Christiansen ◽  
Andreas Niemeyer
Keyword(s):  
Value At Risk ◽  
Risk Measures ◽  
Solvency Ii ◽  
Capital Requirement ◽  
Insurance Regulation ◽  
Modeling Framework ◽  
Solvency Capital Requirement ◽  
Risk Margin ◽  
Solvency Capital ◽  
Definition Of

AbstractIt is essential for insurance regulation to have a clear picture of the risk measures that are used. We compare different mathematical interpretations of the Solvency Capital Requirement (SCR) definition from Solvency II that can be found in the literature. We introduce a mathematical modeling framework that enables us to make a mathematically rigorous comparison. The paper shows similarities, differences, and properties such as convergence of the different SCR interpretations. Moreover, we generalize the SCR definition to future points in time based on a generalization of the value at risk. This allows for a sound definition of the Risk Margin. Our study helps to make the Solvency II insurance regulation more consistent.

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