Proposal for correction of the SCR calculation bias in Solvency II

Martin Hampel; Dietmar Pfeifer

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Proposal for correction of the SCR calculation bias in Solvency II

机译：偿付能力等级II中SCR计算偏差的更正提案

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In the context of Solvency II the Solvency Capital Requirement (SCR) is a well known financial demand which will have to be fulfilled by all European insurance companies to assure a theoretical ruin probability of 0.005 or less.

机译：在偿付能力标准II中，偿付能力资本要求（SCR）是众所周知的财务需求，所有欧洲保险公司都必须满足该要求，以确保理论破产概率为0.005或更小。

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《Zeitschrift für die gesamte Versicherungswissenschaft》 |2011年第5期|733-743|共11页
作者
Martin Hampel; Dietmar Pfeifer;
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Department of Mathematics Carl von Ossietzky University Oldenburg Carl von Ossietzky Straße 9-11 26111 Oldenburg Germany;

Department of Mathematics Carl von Ossietzky University Oldenburg Carl von Ossietzky Straße 9-11 26111 Oldenburg Germany;

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2. Solvency II: stability problems with the SCR aggregation formula [J] . Dietmar Pfeifer, Doreen Strassburger Scandinavian Actuarial Journal . 2008,第4期

机译：偿付能力II：SCR聚合公式的稳定性问题
3. Solvency II: stability problems with the SCR aggregation formula [J] . Dietmar Pfeifer, Doreen Strassburger Scandinavian Actuarial Journal . 2008,第1期

机译：偿付能力II：SCR聚合公式的稳定性问题
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7. Amended proposal for a European Parliament and Council Directive amending Article 12 of Directive 77/80/EEC on the coordination of laws, regulations and administrative provisions relating to the taking-up and pursuit of the business of credit institutions, Articles 2, 5, 6, 7, 8 and Annexes II and III of Directive 89/647/EEC on a solvency ratio for credit institutions, Article 2 and Annex II of Directive 93/6/EEC on the capital adequacy of investment firms and credit institutions (COM (96) 183 final/2 - C4 - 0258/96 - 96/0121(COD)) (presented by the Commission pursuant to Article 189 a (2) of the EC-Treaty). COM (97) 285 final, 27 June 1997 [O] . 1997

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Proposal for correction of the SCR calculation bias in Solvency II

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