Continuous compliance: a proxy-based monitoring framework release_l2qzb4ra7vbancy7ghk7tpdizu

by Julien Vedani, Fabien Ramaharobandro

Released as a article .

2013  

Abstract

Within the Own Risk and Solvency Assessment framework, the Solvency II directive introduces the need for insurance undertakings to have efficient tools enabling the companies to assess the continuous compliance with regulatory solvency requirements. Because of the great operational complexity resulting from each complete evaluation of the Solvency Ratio, this monitoring is often complicated to implement in practice. This issue is particularly important for life insurance companies due to the high complexity to project life insurance liabilities. It appears relevant in such a context to use parametric tools, such as Curve Fitting and Least Squares Monte Carlo in order to estimate, on a regular basis, the impact on the economic own funds and on the regulatory capital of the company of any change over time of its underlying risk factors. In this article, we first outline the principles of the continuous compliance requirement then we propose and implement a possible monitoring tool enabling to approximate the eligible elements and the regulatory capital over time. In a final section we compare the use of the Curve Fitting and the Least Squares Monte Carlo methodologies in a standard empirical finite sample framework, and stress adapted advices for future proxies users.
In text/plain format

Archived Files and Locations

application/pdf  1.0 MB
file_cjddkxrsgnhsvj6mb342nyhsqm
arxiv.org (repository)
web.archive.org (webarchive)
Read Archived PDF
Preserved and Accessible
Type  article
Stage   submitted
Date   2013-12-23
Version   v2
Language   en ?
arXiv  1309.7222v2
Work Entity
access all versions, variants, and formats of this works (eg, pre-prints)
Catalog Record
Revision: 52807f47-3a75-4678-8bbd-d362f1d41aa6
API URL: JSON