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Showing result 1 - 5 of 10 essays matching the above criteria.

1. 1. Solvency Capital Requirement Coverage Ratio at Risk

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Joakim Kjeller; [2018]
   Keywords : Solvency Capital Requirement Coverage Ratio at Risk; Monte Carlo Simulation; Value at Risk; Solvency II; Mathematical Finance;

   Abstract : The Solvency II regulation is an important part of a property insurance company's reality. There is a need to complement the risk management focus on value changes and the financial result with a focus on the regulatory consequences of the value changes. READ MORE

3. 2. 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

4. 3. 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

5. 4. Solvency Capital Requirement (SCR) for Market Risks : A quantitative assessment of the Standard formula and its adequacy for a Swedish insurance company

   University essay from KTH/Matematisk statistik

   Author : Björn Widing; [2016]
   Keywords : Solvency II; Standard formula; Solvency Capital Requirement; Value at Risk; Principal Component Analysis; Cornish Fisher expansion; Solvens II; Standardformeln; Kapitalbaskrav; Value at Risk; Principalkomponents analys; Cornish Fisher expansion;

   Abstract : The purpose of this project is to validate the adequacy of the Standard formula, used to calculate the Solvency Capital Requirement (SCR), with respect to a Swedish insurance company. The sub-modules evaluated are Equity risk (type 1) and Interest rate risk. The validation uses a quantitative assessment and the concept of Value at Risk (VaR). READ MORE

6. 5. Investment Opportunities for Swedish Life Insurance Companies

   University essay from KTH/Matematisk statistik

   Author : Pontus Rufelt; [2016]
   Keywords : ;

   Abstract : Since the new risk sensitive regulation Solvency II was enabled the 1st of January 2016 the European insurance companies have to review their investment strategies. Insurance companies are among the largest institutional investors in Europe holding EUR 6.7 trillion assets, thus major changes in their asset management can impact the capital markets. READ MORE