Handbook of solvency for actuaries and risk managers: theory and practice
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| Format: | Buch |
| Sprache: | English |
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Boca Raton, FL [u.a.]
CRC Press
2011
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| Schriftenreihe: | Chapman & Hall/CRC finance series
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | LVIII, 1055 S. graph. Darst. |
| ISBN: | 9781439821305 1439821305 |
Internformat
MARC
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| 245 | 1 | 0 | |a Handbook of solvency for actuaries and risk managers |b theory and practice |c Arne Sandström |
| 264 | 1 | |a Boca Raton, FL [u.a.] |b CRC Press |c 2011 | |
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| 653 | |a Risk management. | ||
| 653 | |a Risk management--European Union countries. | ||
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Datensatz im Suchindex
| _version_ | 1804148693832564736 |
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| adam_text | Titel: Handbook of solvency for actuaries and risk managers
Autor: Sandström, Arne
Jahr: 2011
Contents
Preface xxxvii
Reader s Guide xxxix
Web Site Information xli
Future Information xliii
Abbreviations xlv
Part A Solvency Introduction 1
Chapter 1 Solvency 3
Chapter 2 A Historical Review 9
2.1 CLASSICAL APPROACH 10
2.1.1 Fluctuation in Aggregate Claims and Ruin Theory 11
2.1.2 Combined Ratios and Other Ratios 12
2.1.3 Change in the Capital Position 13
2.1.4 Multidimensional Systems 15
2.2 ECONOMIC APPROACH 16
2.3 EUROPEAN SOLVENCY II PROJECT 21
2.3.1 Basic Architecture of Solvency II 21
2.3.1.1 General Ideas 22
2.3.1.2 Valuation and Investment 22
2.3.1.3 Standard Formula of SCR and MCR 22
vi Contents
Chapter 3 Managing Risks and the Enterprise 25
3.1 STEPPING STONES TO MANAGING ASSETS AND LIABILITIES 25
3.2 RISK MANAGEMENT AND ALM 28
3.2.1 Model Office Tools 29
3.2.2 Tools to Manage Asset-Liability Interactions 30
3.2.2.1 Cash-Flow Testing 31
3.2.2.2 Immunization 31
3.2.2.3 Cash-Flow Matching 34
3.2.2.4 Asset-Liability Managing 34
3.2.3 Simulation Tools and Testing 36
3.2.4 DFA Tools 36
3.3 ENTERPRISE RISK MANAGEMENT 38
3.3.1 COSO s Definition of ERM 40
3.3.2 SOA s Definition of ERM 41
3.3.3 ERM-II-CAS-SOA Definition 42
3.3.4 IMS ERM Standards and Guidance 44
3.3.5 IAA s Note on IMS Key Features 47
3.3.6 EU Solvency II ERM Approach 48
3.3.7 The Financial Crisis and ERM 48
Chapter 4 Summary of the Development of ERM and Solvency 51
Chapter 5 Elements of Solvency Assessment Systems 55
5.1 IAIS CAPITAL REQUIREMENTS STANDARDS AND GUIDANCE 57
5.2 MODELING CAPITAL REQUIREMENT 61
5.2.1 General Structure 61
5.2.2 Diversification and Mitigation 63
5.3 VALUATION OF ASSETS AND LIABILITIES 63
5.4 CONSERVATIVE VALUATION REGIMES 66
Part B Valuation, Investments, and Capital 69
Chapter 6 Total Balance Sheet Approach 71
6.1 MARKET-CONSISTENT VALUATION 74
Contents vii
6.2 TIME VALUE OF MONEY 76
6.2.1 Present Value 76
6.2.2 Discounting Rates 77
6.2.3 Long Maturities and Liquidity Considerations 79
6.2.4 Liquidity Premium 83
6.3 HEDGING 84
6.4 RISK MARGINS 84
6.5 ACCOUNTING 86
Chapter 7 Asset Valuation 87
7.1 ASSET RISK MARGIN: A DEDUCTION OF NONHEDGEABLE ASSETS 89
Chapter 8 Liability Valuation 91
8.1 CE OF LIABILITIES 93
8.2 DISCRETIONARY PARTICIPATING FEATURES (dpf) 95
8.3 VALUATION TECHNIQUES 96
8.3.1 Replicating Portfolios 97
8.3.2 Valuation Portfolio 99
8.3.2.1 VaPo for Life Insurance 100
8.3.2.2 VaPo for Nonlife Insurance 106
8.3.2.3 Some General Aspects on the VaPo Technique 109
8.3.3 Valuating the Liabilities 110
8.4 LRM: AN ADDITION TO NONHEDGEABLE LIABILITIES 110
8.5 CoC APPROACH TO ESTIMATE THE RM 114
8.5.1 Example from CEA (2006a) 117
8.6 OTHER LIABILITIES 118
Chapter 9 Other Valuation Issues 119
9.1 RISK MITIGATION 119
9.1.1 In-House Risk Mitigation 119
9.1.1.1 Pooling 119
9.1.1.2 Diversification 120
9.1.1.3 Hedging/Offsetting Risks 121
9.1.2 External Risk Mitigation 121
viii Contents
9.1.2.1 Reinsurance 121
9.1.2.2 Alternative Risk Transfer 123
9.1.2.3 Hedging 126
9.2 RISK ENHANCING 126
9.3 SEGMENTATION 127
Chapter 10 Investments and Own Funds____________________________131^
10.1 INVESTMENTS 131
10.1.1 Prudent Person Rule 131
10.2 AVAILABLE CAPITAL: ELIGIBLE OWN FUNDS 132
Chapter 11 Accounting Valuation 137
11.1 BACKGROUND 137
11.2 INTERNATIONAL DEVELOPMENTS 137
11.3 INSURANCE CONTRACTS, REVENUE RECOGNITION, AND
FINANCIAL INSTRUMENTS 139
11.3.1 Service Contracts 140
11.3.2 Financial Instruments 140
11.3.3 Insurance Contracts 141
11.4 AN ESTIMATE OF THE FUTURE CASH FLOWS 142
11.4.1 Effect of the Time Value of Money 147
11.5 A MARGIN: lASB S DISCUSSION 147
11.6 A MARGIN: DISCUSSIONS BY IAIS AND IAA 149
Part C Modeling and Measuring 157
Chapter 12 Developing a Model 159
12.1 ANALYTIC APPROXIMATION OF AN EXACT MODEL 159
12.1.1 First Approximation of the Exact Model 160
12.1.2 Second Approximation of the Exact Model 160
12.2 LINEARIZATION 160
12.3 HOMOGENEOUS FUNCTIONS 161
12.3.1 Euler s Theorem 161
12.3.2 Corollary to Euler s Theorem 162
Contents ix
12.4 NONLINEAR APPROXIMATIONS 162
12.4.1 Second-Order Approximation 162
12.4.2 Higher-Order Functions 163
12.4.2.1 Quadratic Approximation 163
12.4.2.2 Higher-Order Approximation 164
12.5 RISK MODELS 164
12.5.1 Homogeneous Models of Degree One 164
12.5.2 Second-Order Risk Models 165
Chapter 13 Dependence 167
13.1 DEPENDENCE STRUCTURE 168
13.1.1 More on Copulas and Dependence 170
13.2 DEPENDENCE STRENGTH: RANK CORRELATION 1 72
13.2.1 Spearman s Rho 173
13.2.2 Kendall s Tau 174
13.3 TAIL DEPENDENCE 174
13.4 COPULA CLASSES AND FAMILIES 1 75
13.4.1 Copula Class: Archimedean 176
13.4.2 Copula Class: Elliptical 181
13.4.3 Other Classes of Copulas 185
13.4.3.1 Extreme-Value Copulas 185
13.4.3.2 The Marshall-Olkin Copulas 186
13.4.3.3 Frechet Copulas 187
13.4.3.4 Farlie-Gumbel-Morgenstern 187
13 A A A Summary 187
13.5 ESTIMATION AND TESTING 188
13.5.1 Empirical Copula 188
13.5.2 Estimating Dependence 188
13.5.3 Estimating Copula Families 190
13.5.4 Goodness-of-Fit Tests 192
13.5.5 Estimating Regression Functions 193
Chapter 14 Risk Measures 195
14.1 PROPERTIES OF RISK MEASURES 196
x Contents
14.2 FAMILIES OF RISK MEASURES 202
14.2.1 Stone s Three-Parameter Family of Risk Measures 202
14.2.2 Pedersen and Satchell s Five-Parameter Family of Risk Measures 203
14.2.3 Expected Utility Theory-Based Risk Measures 203
14.2.4 Distorted Risk Measures 204
14.2.5 Other Types of Risk Measure Classifications 206
14.2.5.1 Moment-Based Risk Measures 207
14.2.5.2 Tail-Based Measures: Measures of Shortfall Risks 208
14.2.5.3 Generalized Moments 211
14.3 VARANDTVAR 211
14.3.1 Assuming Nonnormality 211
14.3.2 Value-at-Risk 213
14.3.2.1 Variance of a VaR Estimator 215
14.3.3 TVaR 215
14.3.3.1 Variance of a TVaR Estimator 217
14.3.4 Tabled Distance Functions 219
14.3.5 Summary of the Merits of VaR and TVaR 220
14.4 CONCENTRATION MEASURES 220
14.4.1 Herfindahl-Hirschman index 222
14.4.2 Hall-Tideman and Rosenbluth Indices 223
14.4.3 Entropy Measure 224
14.4.4 Other Measures of Concentration 224
14.4.5 Concentration in Solvency Assessment 224
Chapter 15 Capital Requirement: Modeling and Measuring 225
15.1 GENERAL CONSIDERATIONS 225
15.2 TOP-DOWN APPROACH: CAPITAL ALLOCATION 229
15.2.1 Marginal Decomposition and the Euler Capital
Allocation Principle 230
15.2.2 Co-Measures 231
15.3 BOTTOM-UP APPROACH: IAAS BASELINE MODEL 232
15.3.1 First-Order Approximation 232
15.3.2 Standard Deviation Principle as a Baseline Risk Measure 232
15.3.3 Assume Nonnormality 233
Contents xi
15.3.4 A Pragmatic Solution 234
15.3.5 Calibration for Skewness 235
15.3.5.1 General Calibration Problems 237
15.3.5.2 Calibration 238
15.3.5.3 More on Skewness 240
15.3.6 A Suggestion 240
Chapter 16 Risks and Subrisks 243
16.1 AGGREGATION OF (SUB)RISKS 245
Chapter 1 7 Market Risk 247
17.1 DIFFERENT MARKET RISK ISSUES 250
17.1.1 Scaling: The Square-Root-of-Time Scaling 250
17.1.2 Duration 251
17.1.3 Interest Rate Models 252
17.2 INTEREST RATE RISK 253
17.2.1 IAA Model 256
17.2.2 GDV Model 257
17.2.3 CEA Model 259
17.3 EQUITY RISK 259
17.3.1 IAA Model 259
17.3.2 GDV Model 260
17.3.2.1 Normal Distribution of Returns and Lognormal
Distribution of Prices 260
17.3.2.2 Expected Value of the Continuous Return 261
17.3.2.3 Risk Factors for Equities (and Property/Real Estate) 261
17.3.3 CEA Model 262
17.3.4 Equity Duration 262
17.3.4.1 Dividend Discount Model 263
17.3.4.2 Constant Growth DDM (the Gordon-Shapiro
Model or Simply the Gordon Model) 263
17.3.4.3 Zero Growth DDM 264
17.3.4.4 Two-Part Dividend Stream 264
17.3.4.5 Some Other Models 265
xii Contents
17.4 PROPERTY RISK 265
17.4.1 IAA Model 265
17.4.2 GDV Model 265
17.4.3 CEA Model 265
17.4.4 Property Duration 266
17.5 CURRENCY RISK 266
17.5.1 IAA Model 266
17.5.2 GDV Model 267
17.5.3 CEA Model 267
17.6 OTHER CATEGORIES 268
Chapter 18 Credit Risk_______________________________________________269
18.1 DIFFERENT PUBLIC CREDIT RISK MODELS 272
18.1.1 Merton and Vasicek Models 273
18.1.2 Moody s KMV Model 277
18.1.3 CreditMetrics Model 278
18.1.4 CreditRisk+Model 280
18.2 BASEL II: CREDIT RISK IRB 282
18.3 REINSURANCE COUNTERPARTY DEFAULT RISK 283
18.3.1 Common Shock Model 283
18.3.2 Baseline Default Probabilities 285
18.3.3 Total Default Loss 286
18.3.4 Rating Classes 287
18.3.5 Capital Charge 288
18.4 CREDIT SPREAD RISK MODELS 290
18.4.1 CEA Model 291
18.5 CONCENTRATION RISK 292
Chapter 19 Operational Risk 295
19.1 DATA GATHERING FOR THE INSURANCE INDUSTRY 296
19.2 BASEL II CAPITAL CHARGE 300
19.2.1 Basic Indicator Approach 301
19.2.2 Standardized Approach 301
Contents xiii
19.2.3 Advanced Measurement Approaches 302
19.3 GDV MODEL 302
19.4 CEA MODEL 303
Chapter 20 Liquidity Risk 305
20.1 MANAGING LIQUIDITY RISK 305
20.2 MODELING LIQUIDITY RISK 308
20.2.1 Liquidity Coverage Ratio 310
20.2.2 Net Stable Funding Ratio 311
Chapter 21 Underwriting/Insurance Risk 313
21.1 NONLIFE UNDERWRITING RISK 315
21.1.1 Different Factor-Based Models Used 316
21.1.2 GDV Model 316
21.1.3 CEA Model 319
21.1.4 A One-Year Time Horizon Approach 320
21.2 LIFE UNDERWRITING RISK 324
21.2.1 IAA Model 325
21.2.1.1 Mortality Risk 325
21.2.1.2 Lapse Risk 327
21.2.1.3 Expense Risk 329
21.2.2 GDV Model 329
21.2.2.1 Cost Risk 330
21.2.2.2 Insurance Agent + Policyholder DR 330
21.2.2.3 Biometric Risk 331
21.2.2.4 Fluctuation Risk 331
21.2.2.5 Accumulation, Trend, and Modification Risk 332
21.2.3 CEA Model 332
21.2.3.1 Mortality Risk 333
21.2.3.2 Longevity Risk 334
21.2.3.3 Morbidity Risk 334
21.2.3.4 Lapse Risk 334
21.2.3.5 Expense Risk 334
xiv Contents
21.3 HEALTH UNDERWRITING RISK 335
21.3.1 Risk from Net Costs 335
21.3.2 Epidemic/Accumulation Risk 336
21.3.3 Security Surcharge 336
Part D European Solvency II General Ideas, Valuation and
Investment: Final Advice 337
Chapter 22 European Solvency II: General Ideas 339
22.1 GENERAL STRUCTURE 339
22.1.1 Extracts ( Recitals ) from the FD Preamble 342
22.2 AN ERM APPROACH 345
22.2.1 Extracts ( Recitals ) from the FD Preamble 345
22.2.2 Reference to the FD 346
22.2.3 Main Building Blocks 346
22.3 PROPORTIONALITY PRINCIPLE 353
22.3.1 Extracts ( Recitals ) from the FD Preamble 353
22.3.2 Reference to the FD 354
22.3.3 Interpretation of the Proportionality Principle 354
22.4 INTERNAL AND PARTIAL INTERNAL MODELS 357
22.4.1 Extracts ( Recitals ) from the FD Preamble 357
22.4.2 Reference to the FD 358
22.4.3 Approval of Internal Models 358
22.4.4 Partial Internal Models 362
22.5 GROUP ISSUES 365
22.5.1 Extracts ( Recitals ) from the FD Preamble 365
22.5.2 Reference to the FD 368
22.5.3 Assessment of Group Solvency 368
22.5.3.1 Groups 368
22.5.3.2 Calculation Methods 369
22.5.3.3 Other Group Issues 372
22.6 ACTIONS TO BE TAKEN 372
22.6.1 Capital Add-On 373
22.6.1.1 Extracts ( Recitals ) from the FD Preamble 373
Contents xv
22.6.1.2 Reference to the FD 373
22.6.1.3 CEIOPS Principles for Solo Capital Add-Ons 373
22.6.1.4 CEIOPS Advice for Group Capital Add-Ons 374
22.6.2 Extension of the Recovery Period 375
22.6.2.1 Recital and Reference to the FD 375
22.6.2.2 CEIOPS Proposals 375
22.7 REPORTING, DISCLOSURE, AND EXCHANGE OF INFORMATION 376
22.7.1 Extracts ( Recitals ) from the FD Preamble 376
22.7.2 Reference to the FD 377
22.7.3 CEIOPS Proposals 377
22.7.3.1 Supervisory Disclosure 380
Chapter 23 European Solvency II: Asset Valuation 381
23.1 EXTRACTS ( RECITALS ) FROM THE FRAMEWORK DIRECTIVE
PREAMBLE 381
23.2 REFERENCE TO THE FRAMEWORK DIRECTIVE 381
23.3 VALUATION PRINCIPLES 382
23.4 VALUATION OF CERTAIN ASSETS 382
23.4.1 Intangible Assets (Including Goodwill) 382
23.4.2 Properties 383
23.4.3 Participations 383
23.4.4 Financial Assets 384
23.4.5 Other Assets 384
Chapter 24 European Solvency II Project: Liability Valuation 385
24.1 EXTRACTS ( RECITALS ) FROM THE FRAMEWORK DIRECTIVE
PREAMBLE 385
24.2 REFERENCE TO THE FD 386
24.3 VALUATION PRINCIPLES 386
24.3.1 Best Estimate 389
24.3.1.1 CF Projection 392
24.3.1.2 Options and Guarantees 395
24.3.1.3 Policyholders Behavior 396
24.3.1.4 Management Actions 397
xvi Contents
24.3.1.5 Distribution of Extra Benefits 397
24.3.1.6 Recoverables from Reinsurance and SPV Contracts 398
24.3.2 Risk Margin 401
24.3.2.1 Reference Undertaking 402
24.3.2.2 CoCRate 403
24.3.2.3 General Methodology for Calculation of the Risk Margin 403
24.3.2.4 Simplifications 404
24.3.3 Risk-Free IRTS 409
24.4 SEGMENTATION 412
24.4.1 Segmentation for Life TP 413
24.4.2 Segmentation for Nonlife TPs 414
24.4.3 Segmentation for Health TPs 415
24.5 SIMPLIFICATIONS AND PROXIES 415
24.5.1 Nonlife Insurance Specific 417
24.5.2 Life Insurance Specific 419
24.6 OTHER LIABILITIES 423
Chapter 25 European Solvency II Project: Eligible Own Funds and
Investments 425
25.1 EXTRACTS ( RECITALS ) FROM THE FRAMEWORK DIRECTIVE
PREAMBLE 425
25.1.1 Eligible Own Funds 425
25.1.2 Finite Reinsurance and SPVs 426
25.1.3 Investments 427
25.2 REFERENCE TO THE FD 428
25.3 OWN FUNDS 428
25.3.1 CEIOPS Proposed Limit Structure 429
25.3.2 Minimum Characteristics for Own Funds 429
25.3.3 Supervisory Approval of Assessment and Classification 430
25.3.4 Basic Own Funds 431
25.3.5 Ancillary Own Funds 435
25.4 SPECIAL PURPOSE VEHICLES, SPVs 437
25.5 RING-FENCED FUNDS 440
25.6 PARTICIPATIONS 441
Contents xvii
25.7 INVESTMENTS 443
25.7.1 Principle 1: Originators Retained Interest 445
25.7.2 Principle 2: Criteria for Sponsor and Credit Institutions 445
25.7.3 Principle 3: Transparency and Disclosure of the Underlying 446
25.7.4 Principle 4: Skill, Care and Diligence 446
25.7.5 Principle 5: Monitoring Procedures 446
25.7.6 Principle 6: Stress Tests (Including Using Financial Models) 446
25.7.7 Principle 7: Formal Policies, Procedures, and Reporting 446
Part E European Solvency II Standard Formula: Final Advice 449
Chapter 26 Solvency II: Standard Formula Framework 451
26.1 EXTRACTS FROM THE FRAMEWORK DIRECTIVE PREAMBLE
( RECITALS ) 451
26.2 REFERENCE TO THE FD 452
26.3 GENERAL ISSUES 452
26.3.1 Purpose of the SCR 453
26.3.2 Risk Measure 453
26.3.3 Confidence Level 453
26.3.4 Time Horizon 453
26.3.5 Going Concern versus Runoff/Winding Up Assumptions 454
26.3.6 Risk Classification 454
26.4 THE MODULAR APPROACH AND DEPENDENCE STRUCTURE 455
26.4.1 Standard Formula Dependence 456
26.5 ADJUSTMENTS 457
26.5.1 Loss-Absorbing Capacity of Technical Provisions 457
26.5.2 Loss-Absorbing Capacity of Deferred Taxes 460
26.6 RISK MITIGATION TECHNIQUES 461
26.6.1 Allowance for Financial Mitigation Techniques 461
26.6.2 Allowance for Reinsurance Mitigation Techniques 463
26.6.3 Treatment of Special Purpose Vehicles 464
26.7 LIMITING ISSUES 464
26.7.1 Ring-Fenced Funds 464
26.7.2 Participations 465
xviii Contents
26.8 UNDERTAKING-SPECIFIC PARAMETERS 466
26.9 SIMPLIFICATIONS 468
26.10 INTANGIBLE ASSETS RISK MODULE 469
Chapter 27 Solvency II Standard Formula: Market Risk 471
27.1 GENERAL FEATURES 471
27.1.1 Standard Formula 471
27.1.2 Delta-NAV Approach 473
27.1.3 Investment Funds 474
27.1.4 SPV Notes 474
27.2 INTEREST RATE RISK 475
27.2.1 Simplifications 478
27.3 EQUITY RISK 479
27.3.1 Level Equity Capital Requirement 479
27.3.2 Volatility Equity Capital Requirement 480
27.3.3 Aggregation 481
27.4 PROPERTY RISK 482
27.5 CURRENCY RISK 483
27.6 SPREAD RISK 483
27.6.1 Simplifications 488
27.7 CONCENTRATION RISK 489
27.7.1 Financial Concentration Risk 489
27.7.2 Property Concentration Risk 491
27.7.3 Simplifications 491
27.8 DAMPENER 492
27.8.1 Equities: Symmetric Dampener Adjustment 492
27.8.2 Equities: Duration Dampener 493
Chapter 28 Solvency II Standard Formula: Credit Risk 495
28.1 GENERAL ISSUES 495
28.2 COUNTERPARTY DEFAULT RISK 495
28.2.1 Standard Formula 496
28.2.2 Type 1 Capital Charge 497
Contents xix
28.2.3 Type 2 Capital Charge 498
28.3 CALCULATION OF LGD 499
28.4 PROBABILITY OF DEFAULT 502
28.5 OTHER ISSUES 503
Chapter 29 Solvency II Standard Formula: Operational Risk 505
29.1 GENERAL FEATURES 505
29.2 STANDARD FORMULA 505
Chapter 30 Solvency II Standard Formula: Liquidity Risk 509
Chapter 31 Solvency II Standard Formula: Nonlife
Underwriting Risk 511
31.1 GENERAL FEATURES 511
31.1.1 Changes as Compared to QIS4 512
31.1.2 Standard Formula 513
31.1.2.1 Segmentation 514
31.2 RESERVE RISK AND PREMIUM RISK MODULES 514
31.2.1 Undertaking-Specific Parameters 517
31.2.1.1 USP for Reserve Risk 517
31.2.1.2 USP for Premium Risk 519
31.2.2 Simplifications 521
31.3 NONLIFE CAT RISK 521
31.3.1 Standard Scenarios Approach 522
31.3.2 Alternative Approach 523
31.3.3 Simplifications 525
Chapter 32 European Solvency II Standard Formula:
Life Underwriting Risk 527
32.1 GENERAL FEATURES 527
32.1.1 Standard Formula 527
32.1.1.1 Risk Measures 528
32.1.1.2 Segmentation 529
32.1.1.3 Net Capital Charge 529
xx Contents
32.2 MORTALITY RISK 530
32.2.1 Simplifications 530
32.3 LONGEVITY RISK 531
32.3.1 Simplifications 532
32.4 DISABILITY RISK 532
32.4.1 Simplifications 533
32.5 EXPENSE RISK 533
32.5.1 Simplifications 534
32.6 REVISION RISK 534
32.6.1 Undertaking-Specific Parameters 535
32.6.2 Simplifications 536
32.7 LAPSE RISK 536
32.7.1 Simplifications 538
32.8 LIFE CAT RISK 539
32.8.1 Simplifications 539
Chapter 33 Solvency II Standard Formula: Health Underwriting Risk 541
33.1 GENERAL FEATURES 541
33.1.1 Standard Formula 541
33.1.2 Simplifications 543
33.2 SLT HEALTH UNDERWRITING RISK 543
33.2.1 Mortality Risk 545
33.2.2 Longevity Risk 545
33.2.3 Disability Risk 545
33.2.3.1 SLT Health Disability Risk for Medical Insurance 545
33.2.3.2 SLT Health Disability Risk for Income Insurance 547
33.2.4 Expense Risk 547
33.2.5 Lapse Risk 547
33.2.6 Revision Risk 547
33.2.6.1 Undertaking-Specific Parameters 547
33.2.7 Life CAT Risk 548
33.3 NON-SLT HEALTH UNDERWRITING RISK 548
33.3.1 Reserve Risk and Premium Risk 549
Contents xxi
33.3.1.1 Undertaking-Specific Parameters 549
33.3.2 Nonlife CAT Risk 550
Chapter 34 Solvency II Standard Formula: Minimum
Capital Requirement 551
34.1 GENERAL FEATURES 551
34.2 STANDARD FORMULA 552
34.3 MCR LINEAR FORMULA 554
34.3.1 MCRa for Nonlife Activities Practiced on a Nonlife Technical Basis 554
34.3.2 MCRb for Nonlife Activities Technically Similar to Life 555
34.3.3 MCRc for Life Activities Practiced on a Life Technical Basis 555
34.3.4 MCRd for Life Activities: Supplementary Obligations Practiced
on a Nonlife Technical Basis 556
34.4 COMPOSITE UNDERTAKINGS 556
34.5 OTHER ISSUES 557
34.5.1 Deferred Taxes 557
34.5.2 Quarterly Calculation 557
Part F Backgrounds and Calibrations 559
Appendix A Some Statistical Clarifications_____________________________561^
A.1 CONDITIONAL VARIANCES AND COVARIANCES 561
A.2 MEAN SQUARE ERROR 562
A.3 EULER S THEOREM AND COROLLARY 563
A.3.1 Euler s Theorem 563
A.3.2 Corollary 563
A.3.3 Quadratic Approximation 564
Appendix B Approximations for Skewness 565
Appendix C List of Different Papers Published by CEIOPS 569
Appendix D European Solvency II Project 575
D.1 PHASE I: LEARNING PHASE: 1999/2000-2003 575
D.l.l Lamfalussy Procedure 578
xxii Contents
D.1.2 Summary of Phase 1 579
D.1.3 KPMG Report (KPMG, 2002) 581
D.1.4 Life Report (MARKT, 2002e) 582
D.1.5 Nonlife Report (MARKT, 2002f) 583
D.l.5.1 Provisions for Outstanding Claims 583
D. 1.5.2 Provisions for Equalization 584
D.1.6 The Sharma Report (Sharma, 2002) 584
D.2 PHASE II: FRAMEWORK DIRECTIVE PHASE: 2003-2009 587
D.2.1 Recommendations for the First Pillar 589
D.2.2 Recommendations for the Second Pillar 589
D.2.3 Recommendations for the Third Pillar 589
D.3 FURTHER STEPS 590
D.3.1 Creation of CEIOPS and Stakeholders Action 590
D.3.2 Organization and Basic Architecture of Solvency II 590
D.3.3 Road Map 592
D.3.3.1 Basic Architecture 592
D.3.3.2 Three Waves of Specific Calls for Advice 599
D.3.3.3 Brief Summary 601
D.4 STEPS TOWARD A SOLVENCY DIRECTIVE 602
D.4.1 EIOPC Meeting December 2005 602
D.4.2 EIOPC Meeting in April 2006 604
D.4.3 EIOPC Meeting July 2006 608
D.4.4 EIOPC Meeting November 2006 613
D.4.5 EIOPC Meetings in February and July 2007 617
D.4.6 EIOPC 8th-12th Meetings November 2007-April 2009 618
D.5 DRAFT FD 623
D.5.1 Workstream of the EP 627
D.5.2 Workstream of the Council 627
D.5.3 Trialogue 629
D.5.4 Adoption in the EP 633
D.5.5 Adoption in the ECOFIN Council 639
D.6 CONSULTATIONS FOR IMPLEMENTING MEASURES: CEIOPS
WORKSTREAM 639
D.7 PHASE III: IMPLEMENTING PHASE: 2009-2012 641
Contents xxiii
D.7.1 CEIOPS 1st Launch of Draft Final Advices 646
D.7.2 CEIOPS 2nd Launch of Draft Final Advices 648
D.7.3 CEIOPS Third Launch of Draft Final Advices 651
D.7.4 CEIOPS Final Advices 653
D.8 FD PREAMBLE (RECITALS) 656
D.9 FD STRUCTURE 664
Appendix E European Solvency II: General Ideas 667
E.1 PROPORTIONALITY PRINCIPLE 668
E.2 INTERNAL MODELS 673
E.3 GROUP ISSUES 674
E.3.1 Default Method: Accounting Consolidation 677
E.3.2 Alternative Method: Deduction and Aggregation Method 681
E.4 ELIGIBLE OWN FUNDS 683
E.4.1 Principles 683
E.4.2 Classification of Own Funds into Tiers 685
E.5 INVESTMENTS 688
Appendix F European Solvency II: Asset Valuation 693
F.1 INTANGIBLE ASSETS (INCLUDING GOODWILL) 695
F.2 DEFERRED TAXES 695
Appendix G European Solvency II: Liability Valuation 699
G.1 INITIAL THOUGHTS 699
G.l.l Life Insurance Technical Provision 700
G.l.1.1 CfA 7: TPs for Life Insurance 700
G. 1.1.2 Best Estimate 700
G.l.l.3 Risk Margin 700
G.l.l A Risk-Free Interest Rate 700
G.l.l.5 Other Issues 701
G. 1.1.6 CEIOPS Advice 701
G.l.l.7 Segmentation: Homogenous Risk Groups 703
G.l.1.8 Discounting 704
xxiv Contents
G.l.1.9 Profit Sharing and Potential Sharing 704
G. 1.1.10 Surrender Value Floor 705
G. 1.1.11 Reinsurance 705
G.1.2 Nonlife Insurance Technical Provisions 706
G.l.2.1 CfA 8: TPs for Nonlife Insurance 706
G. 1.2.2 CEIOPS Advice 707
G. 1.2.3 Segmentation 708
G. 1.2.4 Reinsurance 708
G.1.2.5 Treatment of Future CFs and Discounting 708
G. 1.2.6 Provision for Claims Outstanding 709
G. 1.2.7 Premium Provisions 710
G.2 QIS1-QIS4 VALUATION OF TP 710
G.2.1 General Principles 710
G.2.2 Hedgeable Risks or Obligations 713
G.2.3 Nonhedgeable Risks or Obligations: BE 714
G.2.3.1 General Assumptions 715
G.2.3.2 Discounting 717
G.2.3.3 Expenses 718
G.2.3.4 Taxation 719
G.2.3.5 Reinsurance and SPVs 720
G.2.3.6 Future Premiums from Existing Contracts 721
G.3 LIFE TECHNICAL PROVISIONS 722
G.3.1 Segmentation 723
G.3.2 Grouping of Contracts 725
G.3.3 Behavior of Policyholders and Management 725
G.3.4 With-Profit Business 726
G.3.5 Linked Business 729
G.3.6 Other Issues 729
G.4 NONLIFE TECHNICAL PROVISIONS 732
G.4.1 Segmentation 732
G.4.2 Best Estimate 734
G.4.3 Premiums Provisions 736
G.4.4 Postclaims Technical Provisions: Outstanding Claims
Provisions 735
Contents xxv
G.5 SIMPLIFICATIONS AND PROXIES 737
G.5.1 Proxies 737
G.5.2 Simplification: Reinsurance Recoverables 738
G.5.3 Simplification: Life Insurance BE 739
G.5.4 Simplification: Nonlife Insurance BE 742
G.5.5 Proxies: Nonlife BE 742
G.6 RISK MARGIN FOR NONHEDGEABLE RISKS/OBLIGATIONS 744
G.6.1 General Considerations 744
G.6.1.1 General Description of the CoC Methodology 745
G.6.2 Simplifications 746
G.6.2.1 Credit Risk: Counterparty Default Risk 746
G.6.2.2 Nonlife Underwriting Risk 746
G.6.2.3 Health Underwriting Risk 747
G.6.2.4 Life Underwriting Risk 747
G.6.2.5 Risk-Absorbing Effect of Future Profit Sharing 747
G.6.2.6 Alternative Simplifications 747
G.6.2.7 Overall SCR Simplifications 749
G.6.3 RM proxies 750
G.7 OTHER LIABILITIES 750
Appendix H European Solvency II: Standard Formula Framework 753
H.1 EARLY THOUGHTS AND IDEAS FROM 2005 754
H.l.l Purpose of the SCR 754
H.1.2 Risk Measure 754
H.1.3 Confidence Level 755
H.1.4 Time Horizon 756
H. 1.5 Unacceptable Level of Capital 756
H. 1.6 Going Concern Versus Runoff/Winding up Assumptions 756
H.1.7 Risk Classification 757
H.1.8 Risk Dependencies 758
H.2 QIS2 759
H.2.1 Overall QIS2 SCR Calculation 761
H.2.1.1 BSCR: Basic Solvency CR 762
xxvi Contents
H.2.1.2 RPS: Reduction for Profit-Sharing Using the k-Factor 763
H.2.1.3 NL_PL: Nonlife Expected Profit or Loss 763
H.3 QIS3 765
H.3.1 Overall SCR Calculation 768
H.3.2 General Approach to Risk Mitigation 770
H.3.3 Composites (Insurers Carrying Out Both Life and
Nonlife Business) 771
H.3.4 Adjustments for Risk Mitigating Properties of Future
Profit Sharing 772
H.3.5 Ring-Fenced Funds 773
H.4 QIS4 773
H.4.1 Segmentation 775
H.5 OVERALL SCR CALCULATION 777
H.5.1 Simplifications in SCR Calculation 779
H.5.2 Adjustments for Risk-Absorbing Properties 780
H.5.2.1 Adjustments for Risk-Absorbing Properties of
Future Profit Sharing 780
H. 5.2.2 Adjustments for Risk-Absorbing Properties of
Deferred Taxation 781
H.5.2.3 Simplification and an Alternative Method 782
H.5.3 Risk Mitigation in SCR 783
Appendix I European Solvency II Standard Formula: Market Risk 787
1.1 GENERAL FEATURES 787
1.1.1 Background 787
1.1.2 QIS2-QIS4 787
Li.2. J QIS2, CEIOPS (2006d) 787
1.1.2.2 QIS3, CEIOPS (2007a) 789
1.1.2.3 QIS4, QIS4 (2008) 791
1.1.3 Calibration 792
1.1.3.1 QIS2 792
1.1.3.2 QIS3 793
1.1.3.3 OIS4 795
1.2 INTEREST RATE RISK 795
Contents xxvii
1.2.1 Background 795
1.2.1.1 Scenario-Based Approach 796
1.2.1.2 Factor-Based Approach 796
1.2.2 QIS2-QIS4 797
1.2.2.1 QIS2, CEIOPS (2006d) 797
1.2.2.2 QIS3, CEIOPS (2007a) 798
1.2.2.3 QIS4, QIS4 (2008) 798
1.2.3 Calibration 800
1.2.3.1 QIS2, CEIOPS (2006b) QIS3, CEIOPS (2007f, 2007g) 800
1.2.3.2 QIS4 804
1.3 EQUITY RISK 804
1.3.1 Background 804
1.3.1.1 Factor-Based Approach 804
1.3.1.2 Scenario-Based Approach 804
1.3.2 QIS2-QIS4 805
1.3.2.1 QIS2, CEIOPS (2006d) 805
1.3.2.2 QIS3, CEIOPS (2007a) 805
1.3.2.3 QIS4, QIS4 (2008) 806
1.3.3 Calibration 809
1.3.3.1 QIS2, CEIOPS (2006b) QIS3, CEIOPS (2007f, 2007g) 809
1.3 A Equity Duration 813
1.3.4.1 QIS3, CEIOPS (2007a) 814
1.3.5 Dampener as Alternative to the Equity Risk 815
1.4 PROPERTY RISK 816
1.4.1 Background 816
1.4.1.1 Factor-Based Approach 816
1.4.1.2 Scenario-Based Approach 816
1.4.2 QIS2-QIS4 816
1.4.2.1 QIS2, CEIOPS (2006d) 816
1.4.2.2 QIS3, CEIOPS (2007a) 817
1.4.2.3 QIS4, QIS4 (2008) 817
1.4.3 Calibration 817
1.4.3.1 QIS2, CEIOPS (2006b) QIS3, CEIOPS (2007f, 2007g) 817
xxviii Contents
1.4.3.2 QIS4, QIS4 (2008) 819
1.4.4 Property Duration 819
1.4.4.1 QIS3, CEIOPS (2007a) 819
1.5 CURRENCY RISK 820
1.5.1 Background 820
1.5.2 QIS2-QIS4 821
1.5.2.1 QIS2, CEIOPS (2006d) 821
1.5.2.2 QIS3, CEIOPS (2007a) 821
1.5.2.3 QIS4, QIS4 (2008) 821
1.5.3 Calibration 822
1.5.3.1 QIS2, CEIOPS (2006b) QIS3, CEIOPS (200/% 2007g) 822
1.5.3.2 QIS4, QIS4 (2008) 825
Appendix J European Solvency II Standard Formula: Credit Risk 827
J.1 QIS2 PROPOSAL 828
J.2 COUNTERPARTY DEFAULT RISK 830
J.2.1 QIS3 and QIS4 Models 831
J.2.1.1 LCD: Reinsurance 832
J.2.1.2 LGD: Financial Derivatives 833
J.2.1.3 LGD: Intermediary Risks/Credit Exposures 833
J.2.1.4 Probability of Default 833
J.2.1.5 Simplifications 834
J.2.2 Calibration 835
J.3 CREDIT SPREAD RISK 839
J.3.1 QIS3 and QIS4 Models 839
J.3.2 Calibration 842
J.4 CONCENTRATION RISK 844
J.4.1 QIS3 and QIS4 Models 845
J.4.2 Calibration 847
J A.2.1 Description of Bonds Portfolio 848
J.4.2.2 Description of Equities Portfolio 849
J.4.3 Options in QIS 4 851
J.4.3.1 Option 1: Differentiated Equity Stress Approach 851
Contents xxix
f.4.3.2 Option 2: Across the Board Approach 852
].4.3.3 Option 3: Look-Through Approach 852
Appendix K European Solvency II Standard Formula: Operational Risk 853
K.1 STANDARD FORMULA 853
K.1.1 QIS2 (CEIOPS, 2006d) 854
K.1.2 QIS3 (CEIOPS, 2007a) 854
K.1.3 QIS4 (QIS4, 2008) 854
K.2 CALIBRATION 856
K.2.1 QIS2 (CEIOPS, 2006b) 856
K.2.2 QIS3 (CEIOPS, 2006b) 856
K.2.3 QIS4 (QIS4, 2008) 857
Appendix L European Solvency II Standard Formula: Liquidity Risk 859
L.1 QIS4 (QIS4, 2008) 859
Appendix M European Solvency II Standard Formula: Nonlife
Underwriting Risk 861
M.1 GENERAL FEATURES 861
M.l.l Background 861
M. 1.1.1 Reserve Risk 862
M. 1.1.2 Premium Risk 863
M.l.l.3 Segmentation 864
M.1.2 High-Level QIS2-QIS4 865
M.1.3 QIS2 867
M.1.4 QIS3 + QIS4 867
M.2 RESERVE AND PREMIUM RISK MODULES 867
M.2.1 QIS2 Model (2006) 867
M.2.2 QIS3 Model (2007) 871
M.2.3 QIS4 Model (2008) 874
M.2.4 Calibration 878
M.2.4.1 Pre-QIS3 Calibration 878
M.2.4.2 Estimation of Market-Wide Parameters S^k and nd*k 879
xxx Contents
M.2.4.3 QIS3: Market-Wide Factors for Premium and Reserve
Risks 881
M.2.4.4 QIS3 Calibration of Credibility Constant for
Premium Risk 885
M.2.4.5 QIS3 Rational for Aggregation Formula 887
M.2.4.6 QIS3 Dependency Structures 888
M.2.4.7 QIS4 Calibration 890
M.3 NONLIFE CAT RISK 891
M.3.1 QIS2 891
M.3.2 QIS3 892
M.3.3 QIS4 892
Appendix N European Solvency II Standard Formula:
Life Underwriting Risk 897
N.1 GENERAL FEATURES 897
N.l.l Background 897
N. 1.1.1 Choice of Volume Measure 898
N. 1.1.2 Choice of Coefficients 898
N. 1.1.3 Degree of Personalization 898
N.l.l.4 Aggregation 899
N.l.l.5 Segmentation 899
N.l.l QIS2-QIS4 900
N. 1.2.1 QIS2 (CEIOPS 2006d) 900
N. 1.2.2 QIS3 (CEIOPS 2006b, 2007a) 901
N. 1.2.3 Q1S4 (QIS4 2008) 902
N.2 MORTALITY RISK 903
N.2.1 Background 903
N.2.1.1 Choice of Volume Measure 903
N.2.1.2 Choice of Coefficients 903
N.2.1.3 Degree of Personalization 903
N.2.2 QIS2-QIS4 905
N.2.2.1 QIS2 (CEIOPS, 2006d) 905
N.2.2.2 QIS3 (CEIOPS, 2007a) 907
N.2.2.3 QIS4 (QIS4, 2008) 907
Contents xxxi
N.2.3 Calibration 908
N.2.3.1 QIS2 Results (CEIOPS, 2006b) 908
N.2.3.2 QIS3 (CEIOPS, 2007e, 2007g) 910
N.2.3.3 QIS4 (QIS4, 2008) 910
N.3 LONGEVITY RISK 910
N.3.1 Background 910
N.3.2 QIS2-QIS4 910
N.3.2.1 QIS2 (CEIOPS, 2006d) 910
N.3.2.2 QIS3 (CEIOPS, 2007a) 912
N.3.2.3 QIS4 (QIS4, 2008) 912
N.3.3 Calibration 913
N.3.3.1 QIS2 Results (CEIOPS, 2006b) 913
N.3.3.2 QIS3 (CEIOPS, 2007e, 2007g) 913
N.3.3.3 QIS4 (QIS4, 2008) 914
N.4 MORBIDITY RISK 915
N.4.1 Background 915
N.4.2 QIS2 915
N.4.2.1 QIS2 (CEIOPS, 2006d) 915
N.4.2.2 QIS3 (CEIOPS, 2006b) 916
N.5 DISABILITY RISK 916
N.5.1 Background 916
N.5.2 QIS2-QIS4 917
N.5.2.1 QIS2 (CEIOPS, 2006d) 917
N.5.2.2 QIS3 (CEIOPS, 2006b) 918
N.5.2.3 QIS4 (QIS4, 2008) 919
N.5.3 Calibration 920
N.5.3.1 QIS2 results (CEIOPS, 2006b) 920
N.5.3.2 QIS3 (CEIOPS, 2007e, 2007g) 920
N.5.3.3 QIS4 (QIS4, 2008) 921
N.6 LAPSE RISK 921
N.6.1 Background 921
N.6.1.1 Choice of Volume Measure 921
N.6.1.2 Choice of Coefficients 921
xxxii Contents
N.6.1.3 Degree of Personalization 922
N.6.1.4 Scenario Techniques 922
N.6.2 QIS2-QIS4 922
N.6.2.1 QIS2 (CEIOPS, 2006d) 922
N.6.2.2 QIS3 (CEIOPS, 2007a) 923
N.6.2.3 QIS4 (QIS4, 2008) 924
N.6.3 Calibration 925
N.6.3.1 QIS2 Results (CEIOPS, 2006b) 925
N.6.3.2 QIS3 (CEIOPS, 2007e, 2007g) 926
N.6.3.3 QIS4 (QIS4, 2008) 926
N.7 EXPENSE RISK 926
N.7.1 Background 926
N.7.1.1 Choice of Volume Measure 927
N.7.1.2 Choice of Coefficients 927
N.7.1.3 Degree of Personalization 927
N.7.2 QIS2-QIS4 927
N.7.2.1 QIS2 (CEIOPS, 2006d) 927
N.7.2.2 QIS3 (CEIOPS, 2007a) 928
N.7.2.3 QIS4 (QIS4, 2008) 928
N.7.3 Calibration 929
N.7.3.1 QIS2 Results (CEIOPS, 2006b) 929
N.7.3.2 QIS3 (CEIOPS, 2007e, 2007g) 930
N.7.3.3 QIS4 (QIS4, 2008) 930
N.8 LIFE CAT RISK 930
N.8.1 Background 930
N.8.1.1 Scenario Techniques 931
N.8.2 QIS2-QIS4 931
N.8.2.1 QIS3 (CEIOPS, 2007a) 931
N.8.2.2 QIS4 (QIS4, 2008) 932
N.8.3 Calibration 933
N.8.3.1 QIS2 Results (CEIOPS, 2006b) 933
N.8.3.2 QIS3 (CEIOPS, 2007e, 2007g) 934
N.8.3.3 QIS4 (QIS4, 2008) 935
Contents xxxiii
N.9 REVISION RISK 935
N.9.1 Background 935
N.9.2 QIS2-QIS4 935
N.9.2.1 QIS3 (CEIOPS, 2007a) 936
N.9.2.2 QIS4 (QIS4, 2008) 936
N.9.3 Calibration 937
N.9.3.1 QIS3 (CEIOPS, 2007e, 2007g) 937
N.9.3.2 QIS4 (QIS4, 2008) 937
Appendix O European Solvency II Standard Formula: Health
Underwriting Risk 939
O.l GENERAL FEATURES 939
0.2 QIS2 PROPOSAL 939
0.2.1 Health Expense Risk 940
0.2.2 Health Excessive Loss/Mortality/Cancellation Risk 940
0.2.3 Health Epidemic/Accumulation Risk 941
0.2.4 QIS2 Experience 941
0.2.5 Health Expense Risk and Health Excessive
Loss/Mortality/Cancellation Risk 941
0.2.6 Health Epidemic/Accumulation Risk 941
0.3 QIS3 PROPOSAL 942
0.3.1 Health Expense Risk 943
0.3.2 Special Treatment for Small and New Health Insurance
Undertakings 943
0.3.3 Health Claim/Mortality/Cancellation Risk 943
0.3.4 Special Treatment for Small and New Health Insurance
Undertakings 944
0.3.5 Health Epidemic/Accumulation Risk 944
0.3.6 QIS3 Calibration 945
0.3.7 Health Expense Risk 945
0.3.8 Health Claim/Mortality/Cancellation Risk 946
0.3.9 Epidemic/Accumulation Risk 947
0.4 QIS4 PROPOSAL 947
0.4.1 Health Long-Term UR Module 949
xxxiv Contents
0.4.1.1 Health Expense Risk 950
OA.1.2 Special Treatment for Small and Recently Established Health
Insurance Companies 950
0.4.1.3 Health Claim/Mortality/Cancellation Risk 951
OA.1.4 Special Treatment for Small and Recently Established Health
Insurance Companies 951
OA.1.5 Health Epidemic/Accumulation Risk 952
0.4.2 Accident and Health Short-Term UR Module 952
O.4.2.1 Accident and Health Short-Term Premium and
Reserve Risks 953
0.4.2.2 Accident and Health Short-Term CAT Risk 953
0.4.3 Workers Compensation UR Module 954
O.4.3.1 Workers Compensation General : Premium and
Reserve Risks 955
0.4.3.2 Workers Compensation: Annuities 956
0.4.3.3 Workers Compensation: CAT Risk 959
0.4.4 QIS4 Calibration 959
0.4.4.1 Accident and Health Short Term 959
OA.4.2 Health Workers Compensation 959
Appendix P European Solvency II Standard Formula: Minimum
Capital Requirement 961
P.1 BACKGROUND 961
P. 1.1 Formula Based on the Existing Solvency I 963
P. 1.2 Simple Calculation Based on the SCR Standard Formula 965
P. 1.3 MCR as an RM Over and Above Liabilities 965
P. 1.4 Investment Risk in the MCR 966
P. 1.5 Interplay with the SCR 967
P.2 QIS2 967
P.2.1 QIS2 Experience 972
P.2.1.1 The Compact Approach 975
P.3 QIS3 975
P.3.1 Calibration of QIS3 981
P.3.1.1 Market Risk 98j
Contents xxxv
F .3.1.2 Nonlife Underwriting Risk 982
P.3.1.3 Life Underwriting Risk 983
P.3.1.4 Health Underwriting Risk 985
P.4 QIS4 985
P.4.1 Calibration of QIS4 990
PA. 1.1 General Assumptions 990
PA. 1.2 Nonlife Business 990
PA. 1.3 Life Business 991
References__________________________________________________993
Index 1025
|
| any_adam_object | 1 |
| author | Sandström, Arne |
| author_GND | (DE-588)170520056 |
| author_facet | Sandström, Arne |
| author_role | aut |
| author_sort | Sandström, Arne |
| author_variant | a s as |
| building | Verbundindex |
| bvnumber | BV039775899 |
| classification_rvk | QQ 620 SK 980 |
| classification_tum | WIR 190f |
| ctrlnum | (OCoLC)670211550 (DE-599)HBZHT016883033 |
| dewey-full | 368.001 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 368 - Insurance |
| dewey-raw | 368.001 |
| dewey-search | 368.001 |
| dewey-sort | 3368.001 |
| dewey-tens | 360 - Social problems and services; associations |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV039775899 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:11:12Z |
| institution | BVB |
| isbn | 9781439821305 1439821305 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024636804 |
| oclc_num | 670211550 |
| open_access_boolean | |
| owner | DE-N2 DE-91G DE-BY-TUM DE-384 |
| owner_facet | DE-N2 DE-91G DE-BY-TUM DE-384 |
| physical | LVIII, 1055 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | CRC Press |
| record_format | marc |
| series2 | Chapman & Hall/CRC finance series |
| spelling | Sandström, Arne Verfasser (DE-588)170520056 aut Handbook of solvency for actuaries and risk managers theory and practice Arne Sandström Boca Raton, FL [u.a.] CRC Press 2011 LVIII, 1055 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC finance series Eigenkapital (DE-588)4013776-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Solvabilität (DE-588)4181761-8 gnd rswk-swf Risk (Insurance) Risk (Insurance)--European Union countries. Asset-liability management. Asset-liability management--European Union countries. Risk management. Risk management--European Union countries. Versicherungsmathematik (DE-588)4063194-1 s Solvabilität (DE-588)4181761-8 s Risikomanagement (DE-588)4121590-4 s Eigenkapital (DE-588)4013776-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024636804&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sandström, Arne Handbook of solvency for actuaries and risk managers theory and practice Eigenkapital (DE-588)4013776-4 gnd Risikomanagement (DE-588)4121590-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Solvabilität (DE-588)4181761-8 gnd |
| subject_GND | (DE-588)4013776-4 (DE-588)4121590-4 (DE-588)4063194-1 (DE-588)4181761-8 |
| title | Handbook of solvency for actuaries and risk managers theory and practice |
| title_auth | Handbook of solvency for actuaries and risk managers theory and practice |
| title_exact_search | Handbook of solvency for actuaries and risk managers theory and practice |
| title_full | Handbook of solvency for actuaries and risk managers theory and practice Arne Sandström |
| title_fullStr | Handbook of solvency for actuaries and risk managers theory and practice Arne Sandström |
| title_full_unstemmed | Handbook of solvency for actuaries and risk managers theory and practice Arne Sandström |
| title_short | Handbook of solvency for actuaries and risk managers |
| title_sort | handbook of solvency for actuaries and risk managers theory and practice |
| title_sub | theory and practice |
| topic | Eigenkapital (DE-588)4013776-4 gnd Risikomanagement (DE-588)4121590-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd Solvabilität (DE-588)4181761-8 gnd |
| topic_facet | Eigenkapital Risikomanagement Versicherungsmathematik Solvabilität |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024636804&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT sandstromarne handbookofsolvencyforactuariesandriskmanagerstheoryandpractice |