Findings from University of Amsterdam Provides New Data about Science (Solvency II solvency capital requirement for life insurance companies based on…

Science Letter

Findings from University of Amsterdam Provides New Data about Science (Solvency II solvency capital requirement for life insurance companies based on expected shortfall)

By a News Reporter-Staff News Editor at Science Letter -- Fresh data on Science are presented in a new report. According to news originating from Amsterdam, Netherlands, by NewsRx editors, the research stated, "This paper examines the consequences for a life annuity insurance company if the solvency II solvency capital requirements (SCR) are calibrated based on expected shortfall (ES) instead of value-at-risk (VaR). We focus on the risk modules of the SCRs for the three risk classes equity risk, interest rate risk and longevity risk."

Our news journalists obtained a quote from the research from the University of Amsterdam, "The stress scenarios are determined using the calibration method proposed by EIOPA in 2014. We apply the stress-scenarios for these three risk classes to a fictitious life annuity insurance company. We find that for EIOPA's current quantile 99.5% of the VaR, the stress scenarios of the various risk classes based on ES are close to the stress scenarios based on VaR. Might EIOPA choose to calibrate the stress scenarios on a smaller quantile, the longevity SCR is relatively larger and the equity SCR is relatively smaller if ES is used instead of VaR."

According to the news editors, the research concluded: "We derive the same conclusion if stress scenarios are determined with empirical stress scenarios."

For more information on this research see: Solvency II solvency capital requirement for life insurance companies based on expected shortfall. European Actuarial Journal, 2017;7(2):405-434. (Springer - www.springer.com; European Actuarial Journal - www.springerlink.com/content/2190-9733/)

The news correspondents report that additional information may be obtained from T.J. Boonen, Amsterdam School of Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, Netherlands (see also Science).

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s13385-017-0160-4. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Europe, Science, Amsterdam, Netherlands, Insurance Companies.