Essays about: "Solvency"

Showing result 21 - 25 of 69 essays containing the word Solvency.

  1. 21. Asset and Liability Management: Optimization using Least-Squares Monte Carlo

    University essay from Lunds universitet/Matematisk statistik

    Author : Sanna Brandel; [2018]
    Keywords : Asset and liability management; Solvency capital requirement; least-squares Monte Carlo; nested Monte Carlo simulation; risk-adjusted net asset value; mean-variance optimization; Mathematics and Statistics;

    Abstract : This thesis aims to examine an efficient asset and liability management method under Solvency II regulations, and to find an optimization framework that takes complex interactions between assets and liabilities into account. The investigated approach consists of a least-squares Monte Carlo method, where least-squares regression is used to obtain a proxy function for future net asset values. READ MORE

  3. 22. Application and Evaluation of Artificial Neural Networks in Solvency Capital Requirement Estimations for Insurance Products

    University essay from KTH/Matematisk statistik

    Author : Mattias Nilsson; Erik Sandberg; [2018]
    Keywords : ;

    Abstract : The least squares Monte Carlo (LSMC) approach is commonly used in the estimation of the solvency capital requirement (SCR), as a more computationally efficient alternative to a full nested Monte Carlo simulation. This study compares the performance of artificial neural networks (ANNs) to that of the LSMC approach in the estimation of the SCR of various financial portfolios. READ MORE

  4. 23. The Icelandic Banking Saga : The ways to deal or not to deal with a systemic banking crisis

    University essay from Uppsala universitet/Juridiska institutionen

    Author : Kristina Borodina; [2018]
    Keywords : ;

    Abstract : Every key feature of the Icelandic banking in the run-up to the 2008 year meltdown can be viewed as an emblem of the concept systemic banking crisis. The concept of a banking crisis is usually defined as “an event that shows significant signs of financial distress in the banking system and which is usually associated with significant bank runs, big losses in the banking system and bank liquidations. READ MORE

  5. 24. Financial Reporting for Contingent Convertibles in Banks: Liability or Equity?

    University essay from Göteborgs universitet/Graduate School

    Author : Osama Masri; Daniel Mörner; [2017-08-09]
    Keywords : Contingent Convertibles; CoCos; liability versus equity; IAS 32; Common Equity Risk; Stock return volatility; Basel III; Hybrid Financial Instruments;

    Abstract : Economic development in the capital markets has led to the creation of financial instruments that have the characteristics of both equity and liability, so-called hybrid financial instruments. IASB is trying to create a new way of classifying this kind of instruments. READ MORE

  6. 25. Systemic Risk in the Insurance Sector under Solvency II: An Analysis of the Pro-Cyclicality Channel

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Anne Beck; [2017]
    Keywords : Cyclicality; Investment Behavior; Financial Stability; Insurance regulation;

    Abstract : This thesis studies the effect of a change in the regulatory environment on the cyclicality of insurers' investment behavior. Given their large amount of asset holdings, insurers have the potential to reinforce or dampen market and asset price movements. READ MORE