MODEL RISK AND DETERMINATION OF SOLVENCY CAPITAL IN THE SOLVENCY 2 FRAMEWORK - Archive ouverte HAL
Article Dans Une Revue International Review of Applied Financial Issues and Economics Année : 2011

MODEL RISK AND DETERMINATION OF SOLVENCY CAPITAL IN THE SOLVENCY 2 FRAMEWORK

Résumé

This paper investigates the robustness of the Solvency Capital Requirement (SCR) when a log-normal reference model is slightly disturbed by the heaviness of its tail distribution. It is shown that situations with "almost" lognormal data and a rather important variation between the "disturbed" SCR and the reference SCR can be built. The consequences of the estimation errors on the level of the SCR are studied too.

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Dates et versions

hal-00625709 , version 1 (22-09-2011)

Identifiants

  • HAL Id : hal-00625709 , version 1

Citer

Frédéric Planchet, Pierre-Emmanuel Thérond. MODEL RISK AND DETERMINATION OF SOLVENCY CAPITAL IN THE SOLVENCY 2 FRAMEWORK. International Review of Applied Financial Issues and Economics, 2011, 3 (2), pp.1:25. ⟨hal-00625709⟩
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