Capital Requirement Evaluation under Solvency II framework
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (31 July 2019) | Viewed by 38233
Special Issue Editor
Interests: actuarial science; complex networks
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
The regulatory Solvency II framework recently came in force in order to improve the solvency of the insurance sector and, by extension, underpin the stability of the broader financial system. As well-known, a risk-based system has been developed defining the criteria for computing the capital requirement by using either a standard formula or an internal model. Also diversification and risk-mitigation effects are taken into account. In this framework, actuarial literature and practitioners are focusing on both the assessment of capital requirement for different sources of risk and the valuation of asset and liabilities.
Moving from these considerations, this Special Issue aims to compile high quality papers that offer a discussion of the state-of-the-art or introduce new theoretical or practical developments in this field. We welcome papers related, but not limited to, the following topics:
- Quantification of capital requirement for Life or Non-Life Underwriting Risk
- Extensions of Solvency II Standard formula.
- Assessing diversification
- Modelling risk-mitigation effects
- Capital allocation
- Valuation of technical liabilities in a Solvency II framework
Dr. Gian Paolo Clemente
Guest Editor
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Keywords
- Capital Requirement
- Reinsurance
- Solvency II
- Best Estimate and Risk Margin
- Dependency
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