Risk management and solvency: mathematical methods in theory and practice

The paper gives a survey of the development status of the Solvency II process and compares several European standard models. Specific attention is given to the risk based German standard model developed by the GDV (German Insurance Association) and the BaFin (Federal Financial Supervisory Authority). The dependences between risks play an essential role in Solvency II since their negligence can lead to a substantial misestimation of the solvency capital. This is particularly critical when looking at natural catastrophes where dependencies can occur due to close regional distances or climatic triggers. Also, when looking at the risk measures Value at Risk and Expected Shortfall it becomes apparent how strong the influence of the underlying dependence structure is, even in the case of uncorrelated risks. On the basis of these considerations, established dependence structures as copulas, linear correlation, rank correlation, and dependencies in the tail are explicitly examined. Furthermore, a new approach which essentially consists in an approximation of the underlying copula by certain grid type copulas is introduced, for which the distribution of the sum of arbitrarily many risks can be calculated explicitly.

Level thesis:degree_level

thesis.doctoral

Grantor dc:publisher

Universität Oldenburg

Year

2007

Author dc:creator

• Straßburger, Doreen

• [Keine Schlagwörter von Autor/in vergeben.]

Repository record source_url

http://oops.uni-oldenburg.de/51

OAI identifier oai:identifier

oai:oops.uni-oldenburg.de:51