Underwriting risk module in solvency capital requirement calculation

被引：0
|
作者：
Pales, Michal [1 ]
机构：
[1] Ekon Univ Bratislave, Katedra Matemat & Aktuarstva, Fak Hospodarskej Informat, Bratislava, Slovakia
来源：
MANAGING AND MODELLING OF FINANCIAL RISKS - 8TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PT III | 2016年
关键词：
Solvency II; SCR; life insurance; underwriting risk module; R language;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Pillar I of Solvency II directive is aimed at quantitative capital requirements for insurance companies so as to ensure their solvency. According to them must have insurance and reinsurance undertakings hold eligible basic own funds, the Solvency Capital Requirement (SCR). The capital charge requirement is calculated using the standard formula or by an internal model. SCR calculated by the standard formula is a sum of three items. The paper presents the calculation of the SCR for life underwriting risk module. We use implementation of scenario analysis for evaluating risks of individual sub-modules.
引用
收藏
页码：751 / 756
页数：6
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