About: Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
Description	Economic situation which has been on the financial markets in the last few years has led to the changes in the regulation of financial institutions. Insurance market is the last area which is awaiting key form of regulation; it should become effective in 2016 when the long prepared regulatory regulations Solvency II will come into force. This will affect not only regulatory practice but also insurance companies’ operation itself and that especially in the area of risk, capital management and information system. Main aim of this paper is to estimate capital requirements for currency risk by utilizing various methods of Monte Carlo simulation; compare acquired results and evaluate the impact of new regulatory approach on the insurance companies. The portfolio of insurance company will consist of selected stocks indexes and the trend of their yields will be simulated by Monte Carlo simulation, Antithetic Sampling Monte Carlo and Latin Hypercube Sampling Monte Carlo with dependence. The method Value at Risk will be used to determine capital requirements. This method is legislatively recognized by directive Solvency II. Economic situation which has been on the financial markets in the last few years has led to the changes in the regulation of financial institutions. Insurance market is the last area which is awaiting key form of regulation; it should become effective in 2016 when the long prepared regulatory regulations Solvency II will come into force. This will affect not only regulatory practice but also insurance companies’ operation itself and that especially in the area of risk, capital management and information system. Main aim of this paper is to estimate capital requirements for currency risk by utilizing various methods of Monte Carlo simulation; compare acquired results and evaluate the impact of new regulatory approach on the insurance companies. The portfolio of insurance company will consist of selected stocks indexes and the trend of their yields will be simulated by Monte Carlo simulation, Antithetic Sampling Monte Carlo and Latin Hypercube Sampling Monte Carlo with dependence. The method Value at Risk will be used to determine capital requirements. This method is legislatively recognized by directive Solvency II. (en)
Title	Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies (en)
skos:prefLabel	Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies (en)
skos:notation	RIV/61989100:27510/14:86090835!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA13-13142S), S
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Matušková, Petra
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	15029
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/14:86090835
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	insurance; capital requirements; Solvency II; Monte Carlo simulation (en)
http://linked.open.../riv/klicoveSlovo	insurance Monte Carlo simulation Solvency II capital requirements
http://linked.open...ontrolniKodProRIV	[418FEDC47B9F]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Olomouc
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
http://linked.open...in/vavai/riv/obor	AE
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Verification of suitability of particular Lévy models for selected issues of financial modeling
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Daníšek Matušková, Petra
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2014-09-10 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Palackého v Olomouci
https://schema.org/isbn	978-80-244-4209-9
http://localhost/t...ganizacniJednotka	27510

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