The Influence of Seed Selection on the Solvency II Ratio

Quinn Culver, Dennis Heitmann and Christian Wei{\ss}

Papers from arXiv.org

Abstract: This article contains the first published example of a real economic balance sheet where the Solvency II ratio substantially depends on the seed selected for the random number generator (RNG) used. The theoretical background and the main quality criteria for RNGs are explained in detail. To serve as a gauge for RNGs, a definition of true randomness is given. Quality tests that RNGs should pass in order to generate stable results when used in risk management under Solvency II are described.

Date: 2018-01, Revised 2018-02
New Economics Papers: this item is included in nep-rmg
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1801.05409 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1801.05409

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().