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From Principle-Based Risk Management to Solvency Requirements
Company: SCOR Switzerland AG
Year Of Publication: 2008
Month Of Publication: January
Pages: 505
Download Count: 9
View Count: 1800
Comment Num: 0
Language: English
Source: book
Who Can Read: Free
Date: 8-29-2010
Publisher: Administrator
Summary
The general outline of this documentation is as follows: The first three parts of this SST-documentation investigate in detail the modeling approaches for the insurance, market and credit risk. Part IV deals with operational risk and emerging risks. Part V describes the valuation of the economic balance-sheet items from the output perspective. The resulting economic shareholders-equity position (or “ultimate” economic valuation of the legal entity) constitutes the basis for the ultimate SCR computations that are outlined in Part VI. The last part will give the reader a brief overview on qualitative risk factors that are analyzed in the context of ERM but not explicitly considered for the SST from a quantitative point of view. It finishes with an outlook to further enhancements of the model that are envisaged in the short to mid-ter
Author(s)
Dacorogna, Michel Sign in to follow this author
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