Scenario-based Capital Requirements for the Interest Rate Risk of Insurance Companies


Insurance companies can substantially suffer from changing interest rates. Regulatory approaches, such as the Solvency-II-standard formula, measure interest rate risk based on scenarios. Backtesting against historical... [ view full abstract ]


  1. Sebastian Schlütter (Applied University of Mainz)

Topic Areas

Capital Requirements , Insurance , Interest Rates


MO-A-B1 » Risk Measures (11:30 - Monday, 16th July, Beckett 1)

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