A first look back: model performance under Solvency II

被引：0

作者：

Ralf Korn

Gerhard Stahl

机构：

[1] RPTU Kaiserslautern–Landau,Fachbereich Mathematik

[2] Fraunhofer Institute ITWM,undefined

[3] University Ulm and HDI,undefined

来源：

European Actuarial Journal | 2024年 / 14卷

关键词：

Solvency II; Backtesting; Capital requirement;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We consider an empirical backtesting for the Solvency Capital Required (SCR) under Solvency II. Based on empirical facts that the Basic own Funds (BoF) can be assumed to evolve log-normally and have a much lower volatility than the corresponding equity for our test data, we make a proposal based on Earnings at Risk (EaR) that can be used to reduce the biases from overshooting SCR estimates in a prudential way.

引用

页码：307 / 315

页数：8

共 7 条

[1]

Jaschke S(2007)Value-at-risk forecasts under scrutiny—the German experience Quant Finance 7 621-636

[2]

Stahl G(2005)Backtesting within the trading book J Risk 8 1-67

[3]

Stehle R(1962)The future of data analysis Ann Math Stat 33 1-undefined

[4]

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[5]

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[7]

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