MODEL RISK AND DETERMINATION OF SOLVENCY CAPITAL IN THE SOLVENCY 2 FRAMEWORK

Frédéric Planchet (1) , Pierre-Emmanuel Thérond (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

This paper investigates the robustness of the Solvency Capital Requirement (SCR) when a log-normal reference model is slightly disturbed by the heaviness of its tail distribution. It is shown that situations with "almost" lognormal data and a rather important variation between the "disturbed" SCR and the reference SCR can be built. The consequences of the estimation errors on the level of the SCR are studied too.

Mots clés: Solvency; extreme values

Domaines: Gestion des risques [q-fin.RM]

Frédéric Planchet, Pierre-Emmanuel Thérond. MODEL RISK AND DETERMINATION OF SOLVENCY CAPITAL IN THE SOLVENCY 2 FRAMEWORK. International Review of Applied Financial Issues and Economics, 2011, 3 (2), pp.1:25. ⟨hal-00625709⟩