Essays about: "solvency II"
Showing result 1 - 5 of 31 essays containing the words solvency II.
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1. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. READ MORE
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2. Black Box Optimization Framework for Reinsurance of Large Claims
University essay from Stockholms universitet/Statistiska institutionenAbstract : A framework for optimization of reinsurance strategy is proposed for an insurance company with several lines of business (LoB), maximizing the Economic Value of purchasing reinsurance. The economic value is defined as the sum of the average ceded loss, the deducted risk premium, and the reduction in the cost of capital. READ MORE
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3. Consolidating Multi-Factor Models of Systematic Risk with Regulatory Capital
University essay from KTH/Matematisk statistikAbstract : To maintain solvency intimes of severe economic downturns banks and financialinstitutions keep capital cushions that reflect the risks in the balance sheet.Broadly,how much capital that is being held is a combination of external requirementsfromregulators and internal assessments of credit risk. READ MORE
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4. Solvency Capital Requirement Coverage Ratio at Risk
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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5. Asset and Liability Management: Optimization using Least-Squares Monte Carlo
University essay from Lunds universitet/Matematisk statistikAbstract : 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