Ruin Probability as a Measure for Solvency II
Publish place: Twenty-second National Conference and Eighth International Conference on Insurance and Development
Publish Year: 1394
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
INSDEV22_019
تاریخ نمایه سازی: 21 بهمن 1397
Abstract:
Solvency Capital Requirement is one of central issues in the Solvency II. Solvency Capital Requirement is the economic capital that an insurance company must hold in order to guarantee a one-year ruin probability of at most 0.005. This article suppose that economic capital of an insurance company can be restated as a compound Poisson surplus process. Then, it develops an approximation method to find out the finite-time ruin probability under such process. Application of our findings has been given though a simulation study.
Keywords:
Solvency II , Solvency Capital Requirement , Ruin probability , Compound Poisson Processes , Mixture exponential (Hyperexponential) distribution , Heavy-tailed distributions
Authors
Amir T. Payandeh Najafabadi
Department of Mathematical Sciences, Shahid Beheshti University, G.C. Evin, ۱۹۸۳۹۶۳۱۱۳, Tehran, Iran.