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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

10

Strana od-do

396-405

Název nakladatele

Tomas Bata University in Zlín

Místo vydání

Zlín

Místo konání akce

Zlín

Datum konání akce

23. 4. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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