UTILIZING THE MONTE CARLO METHOD FOR THE ESTIMATION OF CAPITAL REQUIREMENT IN INSURANCE

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094825" target="_blank" >RIV/61989100:27510/15:86094825 - isvavai.cz</a>
Result on the web
<a href="http://dokbat.utb.cz/2016/wp-content/uploads/2015/04/DOKBAT-2015-Conference-Proceedings.pdf" target="_blank" >http://dokbat.utb.cz/2016/wp-content/uploads/2015/04/DOKBAT-2015-Conference-Proceedings.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
UTILIZING THE MONTE CARLO METHOD FOR THE ESTIMATION OF CAPITAL REQUIREMENT IN INSURANCE
Original language description
The capital adequacy presents a very significant tool of regulation in the functioning of financial institutions and therefore also in the insurance sector. In the current years financial market development led to the increased regulations and to stricter requirements on capital in all the financial institutions. New regulatory directive, which should regulate insurance sector at the level of the European Union and which have been in the preparation for a long time, should be fully implemented in the year 2016. Solvency II should change the current approach in the risk management, capital adequacy and transparency in the insurance sector. Main aim of this paper is to simulate selected probability distribution, by using the Monte Carlo simulations, andbased 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. The capital requirements will be also estimated separately for
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)<br>S - Specificky vyzkum na vysokych skolach

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

Article name in the collection
DOKBAT : 11th Annual International Bata Conference for PhD Students and Young Researchers : 23 and 24 April 2015, Zlín
ISBN
978-80-7454-475-0
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
396-405
Publisher name
Tomas Bata University in Zlín
Place of publication
Zlín
Event location
Zlín
Event date
Apr 23, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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