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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F14%3A86090835%21RIV15-MSM-27510___
rdf:type
skos:Concept n13:Vysledek
rdfs:seeAlso
http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf
dcterms: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.
dcterms: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
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
skos:notation
RIV/61989100:27510/14:86090835!RIV15-MSM-27510___
n3:aktivita
n4:P n4:S
n3:aktivity
P(GA13-13142S), S
n3:dodaniDat
n16:2015
n3:domaciTvurceVysledku
n12:4368649
n3:druhVysledku
n11:D
n3:duvernostUdaju
n17:S
n3:entitaPredkladatele
n14:predkladatel
n3:idSjednocenehoVysledku
15029
n3:idVysledku
RIV/61989100:27510/14:86090835
n3:jazykVysledku
n10:eng
n3:klicovaSlova
insurance; capital requirements; Solvency II; Monte Carlo simulation
n3:klicoveSlovo
n8:Monte%20Carlo%20simulation n8:insurance n8:capital%20requirements n8:Solvency%20II
n3:kontrolniKodProRIV
[418FEDC47B9F]
n3:mistoKonaniAkce
Olomouc
n3:mistoVydani
Olomouc
n3:nazevZdroje
Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
n3:obor
n21:AE
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n20:GA13-13142S
n3:rokUplatneniVysledku
n16:2014
n3:tvurceVysledku
Daníšek Matušková, Petra
n3:typAkce
n5:WRD
n3:zahajeniAkce
2014-09-10+02:00
s:numberOfPages
6
n22:hasPublisher
Univerzita Palackého v Olomouci
n18:isbn
978-80-244-4209-9
n19:organizacniJednotka
27510