Estimating Capital Requirement in Insurance Sector

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090838" target="_blank" >RIV/61989100:27510/14:86090838 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Estimating Capital Requirement in Insurance Sector

Popis výsledku v původním jazyce

The capital adequacy presents a very important element in the functioning of financial institutions and therefore also in the insurance sector. Financial market development in the current years led to the increased regulations and to stricter requirements on capital not only in the bank sector. Regulatory directive Solvency II, which has been in the preparation for a long time, should be fully implemented in the year 2016 and should regulate the risk management, capital adequacy and transparency in theinsurance sector, where such directive is missing so far. Main aim of this paper is to estimate selected probability distribution, by using the Monte Carlo simulations, and based on those to determine capital requirements for currency risk according to Solvency II by using Value at Risk and Expected Shortfall. Then the results will be compared and the impact on the insurance companies will be evaluated.

Název v anglickém jazyce

Estimating Capital Requirement in Insurance Sector

Popis výsledku anglicky

The capital adequacy presents a very important element in the functioning of financial institutions and therefore also in the insurance sector. Financial market development in the current years led to the increased regulations and to stricter requirements on capital not only in the bank sector. Regulatory directive Solvency II, which has been in the preparation for a long time, should be fully implemented in the year 2016 and should regulate the risk management, capital adequacy and transparency in theinsurance sector, where such directive is missing so far. Main aim of this paper is to estimate selected probability distribution, by using the Monte Carlo simulations, and based on those to determine capital requirements for currency risk according to Solvency II by using Value at Risk and Expected Shortfall. Then the results will be compared and the impact on the insurance companies will be evaluated.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

<a href="/cs/project/GA13-13142S" target="_blank" >GA13-13142S: Ověření vhodnosti jednotlivých Lévyho modelů pro vybrané úlohy finanční modelování</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]

ISBN

978-80-248-3631-7

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

151-158

Název nakladatele

VŠB-Technical University of Ostrava

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

8. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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