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  • The capital adequacy presents a very important element in the functioning of financial institutions and therefore also in the insurance sector. Financial market development in the current years led to the increased regulations and to stricter requirements on capital not only in the bank sector. Regulatory directive Solvency II, which has been in the preparation for a long time, should be fully implemented in the year 2016 and should regulate the risk management, capital adequacy and transparency in the insurance sector, where such directive is missing so far. Main aim of this paper is to estimate selected probability distribution, by using the Monte Carlo simulations, and based on those to determine capital requirements for currency risk according to Solvency II by using Value at Risk and Expected Shortfall. Then the results will be compared and the impact on the insurance companies will be evaluated.
  • The capital adequacy presents a very important element in the functioning of financial institutions and therefore also in the insurance sector. Financial market development in the current years led to the increased regulations and to stricter requirements on capital not only in the bank sector. Regulatory directive Solvency II, which has been in the preparation for a long time, should be fully implemented in the year 2016 and should regulate the risk management, capital adequacy and transparency in the insurance sector, where such directive is missing so far. Main aim of this paper is to estimate selected probability distribution, by using the Monte Carlo simulations, and based on those to determine capital requirements for currency risk according to Solvency II by using Value at Risk and Expected Shortfall. Then the results will be compared and the impact on the insurance companies will be evaluated. (en)
Title
  • Estimating Capital Requirement in Insurance Sector
  • Estimating Capital Requirement in Insurance Sector (en)
skos:prefLabel
  • Estimating Capital Requirement in Insurance Sector
  • Estimating Capital Requirement in Insurance Sector (en)
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  • RIV/61989100:27510/14:86090838!RIV15-MSM-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA13-13142S), S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
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  • 15030
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/14:86090838
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  • insurance; capital requirements; Solvency II; Monte Carlo simulation (en)
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http://linked.open...ontrolniKodProRIV
  • [B4B8BB13D1A1]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
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  • Ostrava
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  • Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
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  • Daníšek Matušková, Petra
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Vysoká škola báňská - Technická univerzita Ostrava
https://schema.org/isbn
  • 978-80-248-3631-7
http://localhost/t...ganizacniJednotka
  • 27510
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