Medición del riesgo de mercado en el estudio de seguros con garantías a largo plazo (LTGA) de Solvencia II

  1. Durán Santomil, Pablo
  2. Otero González, Luis
  3. Blázquez, Ana
  4. Vivel Búa, Milagros
Buch:
Estudios en Finanzas y Contabilidad: España y América Latina. Estado del arte y las nuevas metodologías aplicadas
  1. Ramos, María (coord.)
  2. Miranda García, Isabel Marta (coord.)

Verlag: ECORFAN

ISBN: 978-607-00-4301-7

Datum der Publikation: 2013

Seiten: 1-28

Art: Buch-Kapitel

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Zusammenfassung

Solvency II will completely transform capital requirements for the European insurance industry. The new regulatory framework proposes a standard model based on value-at-risk (VaR). In this paper we study the standard model proposed on Long Term Guarantees Assessment (LTGA) for measuring market risk of an insurance company. Capital charges are calculated through practical examples of hypothetical insurers and finally we make recommendations on how to reduce these charges.

Fuente de los datos: Dialnet