LAUSR

About LAUSR
Donate
Contact Us

Follow us:

You are not signed in:

Sign Up!


   Articles with "solvency" as a keyword



Portfolio optimization under Solvency II

Sign Up to like & get
recommendations! Published in 2019 at "Annals of Operations Research"

DOI: 10.1007/s10479-018-2835-x

Abstract: In the current low interest-rate and highly-regulated environment investing capital efficiently is one of the most important challenges insurance companies face. Certain quantitative parts of regulatory requirements (e.g. Solvency II capital requirements) result in constraints… read more here.

Keywords: investment strategies; portfolio optimization; optimization solvency; solvency ... See more keywords

Contagion through common borrowers

Sign Up to like & get
recommendations! Published in 2018 at "Journal of Financial Stability"

DOI: 10.1016/j.jfs.2018.10.001

Abstract: We propose a model in which banks are exposed to the risk of contagion through their portfolio of loans. We show that a solvency problem in one bank can be transmitted to another if they… read more here.

Keywords: solvency; contagion common; common borrowers; borrower ... See more keywords

An option pricing approach for measuring Solvency Capital Requirements in Insurance Industry

Sign Up to like & get
recommendations! Published in 2018 at "Physica A: Statistical Mechanics and its Applications"

DOI: 10.1016/j.physa.2018.05.113

Abstract: Solvency capital requirements indicated by Solvency II against longevity risk involve distortions and inconsistencies caused by the invariance of the longevity shock compared to the age and time assumed by the regulatory model. To overcome… read more here.

Keywords: pricing approach; solvency; solvency capital; capital requirements ... See more keywords
Photo from wikipedia

Ethanol-blended petroleum fuels: implications of co-solvency for phytotechnologies

Sign Up to like & get
recommendations! Published in 2020 at "RSC Advances"

DOI: 10.1039/c9ra10919f

Abstract: In recent decades, there has been increasing interest in the use of ethanol-blended fuels as alternatives to unblended fossil fuels. These initiatives are targeted at combating CO2 and particulate matter emissions, as these oxygenates leave… read more here.

Keywords: petroleum fuels; fuels implications; solvency; blended petroleum ... See more keywords

A new skewness adjustment for Solvency II SCR standard formula

Sign Up to like & get
recommendations! Published in 2025 at "Scandinavian Actuarial Journal"

DOI: 10.1080/03461238.2024.2446399

Abstract: Under the Solvency Capital Requirement (SCR) formula of European Solvency II, the required capital for an insurer is calculated as the Value-at-Risk of the aggregate loss, utilizing a modular approach with a set of fixed… read more here.

Keywords: formula; skewness adjustment; portfolio skewness; new skewness ... See more keywords
Photo from wikipedia

Impact of financial liquidity and solvency on cost efficiency: evidence from US banking system

Sign Up to like & get
recommendations! Published in 2020 at "Studies in Economics and Finance"

DOI: 10.1108/sef-04-2019-0155

Abstract: The purpose of this paper is to evaluate the importance of financial liquidity and solvency on US commercial and domestic banks’ cost efficiency while accounting for internal and external factors.,The Stochastic Frontier Analysis and Data… read more here.

Keywords: cost efficiency; efficiency; solvency; financial liquidity ... See more keywords

RecessionRisk+: A Novel Recession Risk Model with Applications to the Solvency II Framework and Recession Crises Forecasting

Sign Up to like & get
recommendations! Published in 2024 at "Mathematics"

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

Investment Portfolio Allocation and Insurance Solvency: New Evidence from Insurance Groups in the Era of Solvency II

Sign Up to like & get
recommendations! Published in 2024 at "Risks"

DOI: 10.3390/risks12120191

Abstract: This study examines the effect of the investment portfolio structure on insurers’ solvency, as measured by the Solvency Capital Requirement ratio. An empirical sample of 88 EU-based insurance groups was analyzed to provide robust evidence… read more here.

Keywords: insurance groups; solvency ratios; investment portfolio; solvency ... See more keywords