RecessionRisk+: A Novel Recession Risk Model with Applications to the Solvency II Framework and Recession Crises Forecasting
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DOI: 10.3390/math12233747
Abstract: The Solvency II regulatory framework requires European insurance companies to guarantee their solvability and stability by retaining enough Own Funds to cover future unexpected losses at a given confidence level. A Standard Formula approach is… read more here.
Keywords: risk; model; solvency; recession risk ... See more keywords