Risk Models for Capital Adequacy: Applications in the Context of Solvency II and Beyond

Peter Liebwein ()
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Peter Liebwein: Swiss Re Germany AG, Dieselstraße 11

The Geneva Papers on Risk and Insurance - Issues and Practice, 2006, vol. 31, issue 3, No 12, 528-550

Abstract: Abstract In the context of the quantitative requirements under pillar 1 of Solvency II, internal risk models quantify a specific company's risk position, that is, measure the risk capital it requires. Because the individual insurance company's situation is modelled, its risk landscape is reflected more accurately than if a standard model approach were used. A brief case study indicates that internal risk models should be used not only to fulfill regulatory requirements, they have to and they do feature more benefits: risk models foster risk management processes; therefore, they are capable of supporting risk-based business decisions. Finally, they constitute a kernel for any risk-based performance measurement framework.

Keywords: Solvency II; capital requirement; risk model; risk-based performance measurement (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1057/palgrave.gpp.2510095

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