Solvency II solvency capital requirement for life insurance companies based on expected shortfall
Work
Year: 2017
Type: article
Abstract: This paper examines the consequences for a life annuity insurance company if the solvency II solvency capital requirements (SCR) are calibrated based on expected shortfall (ES) instead of value-at-ris... more
Source: European Actuarial Journal
Author Tim J. Boonen
Institution University of Amsterdam
Cites: 37
Cited by: 33
Related to: 10
FWCI: 10.18
Citation percentile (by year/subfield): 98.55
Subfield: Demography
Field: Social Sciences
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: hybrid
APC paid (est): $2,890