Solvency: Models, Assessment and Regulation, 1st Edition (Paperback) book cover

Solvency

Models, Assessment and Regulation, 1st Edition

By Arne Sandstrom

Chapman and Hall/CRC

448 pages

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Paperback: 9780367392147
pub: 2019-09-23
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pub: 2005-09-19
$185.00
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pub: 2005-09-19
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Description

Until now there were no published analyses of the recent solvency work conducted in Europe, specifically the risk categories proposed by the International Actuarial Association (IAA). Answering the insurance industry's demand in the wake of the EU Solvency II project, Solvency: Models, Assessment and Regulation provides a concrete summary and review of solvency and inspires additional work in the field.

Following an introduction to the concept, the first section of the book provides a historical review of solvency, detailing solvency regulation and accounting within the EU. A review of the steps leading to Solvency II looks at accounting, supervision, the actuarial field, the first phase of Solvency II, international approaches to banking, and the solvency systems of 12 major nations.

The second section explores the current basis for solvency modeling, focusing on the valuation of assets and liabilities, dependency and various conservative approaches, as well as a baseline and benchmark approach. This section also provides examples of risk structure and the effects of diversification.

The final section discusses groups and internal modeling as it relates to EU Solvency II. It addresses insurance groups, financial conglomerates, reinsurance, the importance of internal modeling and stress testing, and the current state of the second phase of EU Solvency II.

Table of Contents

Past and Present: a Historical Review and Different Approaches to Solvency. Present: Modeling a Standard Approach. Present and Future: EU Solvency II - Phase 2: Groups and Internal Modeling in Brief.

About the Author

Sandstrom, Arne

Subject Categories

BISAC Subject Codes/Headings:
BUS027000
BUSINESS & ECONOMICS / Finance
MAT000000
MATHEMATICS / General
MAT029000
MATHEMATICS / Probability & Statistics / General