Sandström Handbook of Solvency for Actuaries and Risk Managers

Theory and Practice
Erscheinungsjahr 2010
ISBN: 978-1-4398-2132-9
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 1113 Seiten

Reflecting the author’s wealth of experience in this field, Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice focuses on the valuation of assets and liabilities, the calculation of capital requirement, and the calculation of the standard formula for the European Solvency II project.

The first three sections of the book examine the solvency concept, historical development, and the role of solvency in an enterprise risk management approach. The text provides a general discussion on valuation, investment, and capital, along with modeling and measuring. It also covers dependence, risk measures, capital requirements, subrisks, aggregation, the main risks market, and credit, operational, liquidity, and underwriting risks.

The last three sections focus on the European Solvency II project. Basing the material on CEIOPS final advice, the author presents the general ideas, valuation, investments, and funds of this project as well as the standard formula framework. He also includes all calibrations from previous quantitative impact studies and discusses the political progress of the project.

A one-stop shop for actuaries and risk managers, this handbook offers a complete overview of solvency and the European Solvency II standard formula. It gives a clear definition and broad historical review of solvency and incorporates a comprehensive discussion of the theory behind the calculation of the capital requirement. Updates on solvency projects and issues are available at www.SolvencyII.nu

Zielgruppe

Actuaries and risk managers; researchers and professionals in finance.

Autoren/Hrsg.

Sandström, Arne

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft

Inhaltsverzeichnis

Solvency Introduction
Solvency
A Historical Review
Managing Risks and the Enterprise
A Summary of the Development of Enterprise Risk Management and Solvency
Elements of Solvency Assessment Systems
Valuation, Investments, and Capital
Total Balance Sheet Approach
Asset Valuation
Liability Valuation
Other Valuation Issues
Investments and Own Funds
Accounting Valuation
Modeling and Measuring
Developing a Model
Dependence
Risk Measures
Capital Requirement: Modeling and Measuring
Risks and Subrisks
Market Risk
Credit Risk
Operational Risk
Liquidity Risk
Underwriting/Insurance Risk
The European Solvency II General Ideas, Valuation, and Investment: Final Advice
European Solvency II: General Ideas
European Solvency II: Asset Valuation
European Solvency II Project: Liability Valuation
European Solvency II Project: Eligible Own Funds and Investments
The European Solvency II Standard Formula: Final Advice
Solvency II: The Standard Formula Framework
Solvency II Standard Formula: Market Risk
Solvency II Standard Formula: Credit Risk
Solvency II Standard Formula: Operational Risk
Solvency II Standard Formula: Liquidity Risk
Solvency II Standard Formula: Nonlife Underwriting Risk
Solvency II Standard Formula: Life Underwriting Risk
Solvency II Standard Formula: Health Underwriting Risk
Solvency II Standard Formula: Minimum Capital Requirement
Backgrounds and Calibrations
Some Statistical Clarifications
Approximations for Skewness
List of Different Papers That Has Been Published by CEIOPS
European Solvency II Project
European Solvency II: General Ideas
European Solvency II: Asset Valuation
European Solvency II: Liability Valuation
European Solvency II: The Standard Formula Framework
European Solvency II Standard Formula: Market Risk
European Solvency II Standard Formula: Credit Risk
European Solvency II Standard Formula: Operational Risk
European Solvency II Standard Formula: Liquidity Risk
European Solvency II Standard Formula: Nonlife Underwriting Risk
European Solvency II Standard Formula: Life Underwriting Risk
European Solvency II Standard Formula: Health Underwriting Risk
European Solvency II Standard Formula: Minimum Capital Requirement
References
Index

Über Autor(innen)

Arne Sandström is the chief actuary of the Swedish Insurance Federation, where he has worked since 1985. Dr. Sandström is a member of IAA’s Solvency Subcommittee, CEA’s Solvency II Steering Group, and the Groupe Consultatif Pillar I Non-Life Working Group.