THE IMPACT OF INPUT PARAMETERS ON THE CAPITAL REQUIREMENTS FOR EQUITY PORTFOLIO IN INSURANCE
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099809" target="_blank" >RIV/61989100:27510/16:86099809 - isvavai.cz</a>
Result on the web
<a href="http://www.fhi.sk/files/katedry/kove/ssov/VKOXVIII/Zbornik2016.pdf" target="_blank" >http://www.fhi.sk/files/katedry/kove/ssov/VKOXVIII/Zbornik2016.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
THE IMPACT OF INPUT PARAMETERS ON THE CAPITAL REQUIREMENTS FOR EQUITY PORTFOLIO IN INSURANCE
Original language description
Insurance sector represents one of the most complex sectors of financial services which aim is to eliminate negative impact of unpredictable events. The capital adequacy presents a very significant tool of regulation in the functioning of financial institutions and the important role of management is to determine the optimal amount of regulatory capital. In the current years, the financial market development led to the increased regulations and to stricter requirements on capital in all the financial institutions. New regulatory directive named Solvency II, which should regulate insurance sector at the level of the European Union, should be fully implemented in the year 2016. It should change the current approach in the risk management, capital adequacy and transparency in the insurance sector. Main aim of this paper is to estimate capital requirements for equity portfolio, denominated in various currencies according to Solvency II by using Value at Risk and Expected Shortfall. And then is to analyse impact of input parameters on capital requirements.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
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)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Quantitative Methods in Economics : Multiple Criteria Decision Making XVIII : proceedings of the international scientific conference : 25th May-27th May 2016, Vrátna, Slovakia
ISBN
978-80-972328-0-1
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
241-246
Publisher name
Letra Interactive
Place of publication
Bratislava
Event location
Vrátna
Event date
May 25, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000394099300038