TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL

被引:1
|
作者
Gaigall, Daniel [1 ,2 ,3 ]
机构
[1] Leibniz Univ Hannover, Inst Probabil & Stat, Welfengarten 1, D-30167 Hannover, Germany
[2] Leibniz Univ Hannover, House Insurance,Welfengarten 1, D-30167 Hannover, Germany
[3] HDI Serv AG, Grp Risk Management, HDI Pl 1, D-30659 Hannover, Germany
来源
ASTIN BULLETIN | 2021年 / 51卷 / 03期
关键词
Bootstrap; Empirical process; Functional Delta method; Hadamard differentiability; Paired sample; FUNCTIONAL DELTA-METHOD; INDEXED PROCESSES; QUANTILES; EQUALITY; RATIO;
D O I
10.1017/asb.2021.20
中图分类号
F [经济];
学科分类号
02 ;
摘要
In the context of the Solvency II directive, the operation of an internal risk model is a possible way for risk assessment and for the determination of the solvency capital requirement of an insurance company in the European Union. A Monte Carlo procedure is customary to generate a model output. To be compliant with the directive, validation of the internal risk model is conducted on the basis of the model output. For this purpose, we suggest a new test for checking whether there is a significant change in the modeled solvency capital requirement. Asymptotic properties of the test statistic are investigated and a bootstrap approximation is justified. A simulation study investigates the performance of the test in the finite sample case and confirms the theoretical results. The internal risk model and the application of the test is illustrated in a simplified example. The method has more general usage for inference of a broad class of law-invariant and coherent risk measures on the basis of a paired sample.
引用
收藏
页码:813 / 837
页数:25
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