Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II. [PDF]
, 2016 Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through longevity-linked securities. The market of longevity-linked securities is at present far from being complete and does not allow finding a ...
Helena Leino-Kilpi (3471101) +5 more
core +7 more sources
SPREMNOST BOSNE I HERCEGOVINE NA UVOĐENJE EVROPSKE DIREKTIVE SOLVENCY II
Годишњак Правног факултета у Бањалуци, 2023 Evropska unija uvela je Solvency II - Direktivu 2009/138/EZ Evropskog parlamenta i savjeta o osnivanju i obavljanju djelatnosti osiguranja i reosiguranja (u daljem tekstu: Solvency II), kako bi osigurala finansijsku stabilnost osiguravajuiih društava ...
Емина Имамовић
doaj +1 more source
On the Diversification Effect in Solvency II for Extremely Dependent Risks
Risks, 2023 In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three ...
Yongzhao Chen +4 more
semanticscholar +1 more source
Diversification and Solvency II: the capital effect of portfolio swaps on non-life insurers
The Geneva Papers on Risk and Insurance - Issues and Practice, 2022 Diversification plays a pivotal role under the risk-based capital regime of Solvency II. The new rules reward large and well-diversified insurance companies with relatively low capital requirements compared to those of small and specialised nature.
Barry Sheehan +4 more
semanticscholar +1 more source
The Quality of Reserve Risk Calculation Models under Solvency II and IFRS 17
Risks, 2022 We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular.
N. M. Arató, László Martinek
semanticscholar +1 more source
An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
European Actuarial Journal, 2021 In this paper, we propose an approach to explore reinsurance optimization for a non-life multi-line insurer through a simulation model that combines alternative reinsurance treaties.
Alberto Zanotto, G. P. Clemente
semanticscholar +1 more source
Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint
Известия Иркутского государственного университета: Серия "Математика", 2022 This paper introduces multi–period loan interest rate Nash game models in the banking sector under regulatory solvency constraints. By taking solvency constraint as Basel II and modelling economic condition as AR(1) process, we obtain results regarding ...
Kh. Enkhbayar, G. Battulga, S. Batbileg
doaj +1 more source
Machine Learning-Based Elastic Cloud Resource Provisioning in the Solvency II Framework [PDF]
, 2016 The Solvency II Directive (Directive 2009/138/EC) is a European Directive issued in November 2009 and effective from January 2016, which has been enacted by the European Union to regulate the insurance and reinsurance sector through the discipline of ...
Casarano, Giuseppe +5 more
core +2 more sources
Investment Activities of Polish Insurance Companies Before and After Solvency II
Foundations of Management, 2021 Insurance companies operate in a turbulent, constantly changing environment. The insurance market plays an important role in the economy. On the one hand, it is characterized by the dynamic development of services based on new technologies and ...
Daniel Szaniewski
semanticscholar +1 more source
SOLVENCY II: THE IMPLICATIONS OF ITS APPLICATION ON THE ROMANIAN INSURANCE MARKET
Studies and Scientific Researches: Economics Edition, 2014 Solvency II is a European directive whose purpose is to update the regulations concerning the insurance market. This is more than a set of rules on the solvency of insurance companies and is a comprehensive set of rules on the entire insurance market ...
Ioan Marius Ciotina
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