ESTIMATING CAPITAL REQUIREMENTS FOR EQUITY PORTFOLIO IN INSURANCE

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094797" target="_blank" >RIV/61989100:27510/15:86094797 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
ESTIMATING CAPITAL REQUIREMENTS FOR EQUITY PORTFOLIO IN INSURANCE
Original language description
Significant tool of regulation in insurance sectors is monitoring of their solvency, thus insurance company's ability to secure permanent fulfillment of liabilities by their own sources. Regulatory directive Solvency II, which has been in the preparationfor a long time, should be fully implemented in the year 2016 and should regulate the risk management, capital adequacy and transparency in the insurance sector, where such directive is missing so far. Main aim of this paper is to simulate selected probability distribution, by using the Monte Carlo simulations, and based on those to estimate capital requirements for equity portfolio, denominated in various currencies according to Solvency II by using Value at Risk and Expected Shortfall.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
MEKON 2015 : the CD of participants' reviewed papers from 17th international conference : February 4-5, 2015, Ostrava
ISBN
978-80-248-3684-3
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
442-450
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Feb 4, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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