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1 results

  • FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II

  • Marcus C. Christiansen, Andreas Niemeyer
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 44 / Issue 3 / September 2014
    Published online by Cambridge University Press:
    07 May 2014, pp. 501-533
    Print publication:
    September 2014

  • It is essential for insurance regulation to have a clear picture of the risk measures that are used. We compare different mathematical interpretations of the Solvency Capital Requirement (SCR) definition from Solvency II that can be found in the literature. We introduce a mathematical modeling framework that enables us to make a mathematically rigorous comparison. The paper shows similarities, differences, and properties such as convergence of the different SCR interpretations. Moreover, we generalize the SCR definition to future points in time based on a generalization of the value at risk. This allows for a sound definition of the Risk Margin. Our study helps to make the Solvency II insurance regulation more consistent.