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DTSTART;VALUE=DATE:20180522T171500
DTEND;VALUE=DATE:20180522T171500
UID:5781@agenda.unifr.ch
DESCRIPTION:Motivated by the recent introduction of regulatory stress tests in the Solvency II framework, we study the impact of the re-estimation of the tail risk and of loss absorbing capacities on poststress solvency ratios. Our contribution is threefold. First, we build the first stylized model\nfor re-estimated solvency ratio in insurance. Second, this leads us to solve a new theoretical\nproblem in statistics: what is the asymptotic impact of a record on the re-estimation of tail\nquantiles and tail probabilities for classical extreme value estimators? Third, we quantify the\nimpact of the re-estimation of tail quantiles and of loss absorbing capacities on real-world\nsolvency ratios thanks to regulator data from EIOPA. Our analysis sheds a first light on the\nrole of the loss absorbing capacity and its paramount importance in the Solvency II capital\ncharge computations. We conclude with a number of policy recommendations for insurance\nregulators.
SUMMARY:Prof. Stéphane Loisel (ISFA Lyon): Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views
CATEGORIES:Colloque / Congrès / Forum
LOCATION:PER 08\, Phys 2.52\, Chemin du Musée 3\, 1700 Fribourg
URL;VALUE=URI:https://agenda.unifr.ch/e/fr/5781
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