摘要翻译:
实施自身风险和偿付能力评估是偿付能力框架第二支柱提出的一个关键问题。特别是,总体偿付能力需求的计算要求保险公司在多年时间范围内确定一个最优的实体特定偿付能力约束。在人寿保险社会框架中,回答这个问题的直观方法有时会导致新的实施问题,这些问题与用于预测公司几年净资产值的方法的高度随机性有关。另一种方法可以是使用多项式代理在整个时间范围内复制这个变量的结果。多项式函数已经被认为是一年资产净值的有效复制方法。曲线拟合和最小二乘蒙特卡罗程序是这类程序中最著名的例子。在这篇文章中,我们介绍了在多年时间范围内使用这些方法的可能性,以评估整体偿付能力需求。
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英文标题:
《Solvency assessment within the ORSA framework: issues and quantitative
methodologies》
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作者:
Julien Vedani (SAF), Laurent Devineau (SAF)
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In a life insurance society framework, the intuitive approaches to answer this problem can sometimes lead to new implementation issues linked to the highly stochastic nature of the methodologies used to project a company Net Asset Value over several years. One alternative approach can be the use of polynomial proxies to replicate the outcomes of this variable throughout the time horizon. Polynomial functions are already considered as efficient replication methodologies for the Net Asset Value over 1 year. The Curve Fitting and Least Squares Monte-Carlo procedures are the best-known examples of such procedures. In this article we introduce a possibility of adaptation for these methodologies to be used on a multi-year time horizon, in order to assess the Overall Solvency Needs.
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PDF链接:
https://arxiv.org/pdf/1210.6000