MODEL RISK AND DETERMINATION OF SOLVENCY CAPITAL IN THE SOLVENCY 2 FRAMEWORK

Frédéric Planchet () and Pierre-Emmanuel Thérond

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Abstract: This paper investigates the robustness of the Solvency Capital Requirement (SCR) when a log-normal reference model is slightly disturbed by the heaviness of its tail distribution. It is shown that situations with "almost" lognormal data and a rather important variation between the "disturbed" SCR and the reference SCR can be built. The consequences of the estimation errors on the level of the SCR are studied too.

Keywords: Solvency; extreme values (search for similar items in EconPapers)
Date: 2011-07-04
New Economics Papers: this item is included in nep-ban and nep-rmg
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Published in International Review of Applied Financial Issues and Economics, 2011, 3 (2), pp.1:25

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00625709

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