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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F14%3A86090838%21RIV15-MSM-27510___
rdf:type
n15:Vysledek skos:Concept
dcterms:description
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.
dcterms:title
Estimating Capital Requirement in Insurance Sector Estimating Capital Requirement in Insurance Sector
skos:prefLabel
Estimating Capital Requirement in Insurance Sector Estimating Capital Requirement in Insurance Sector
skos:notation
RIV/61989100:27510/14:86090838!RIV15-MSM-27510___
n3:aktivita
n13:S n13:P
n3:aktivity
P(GA13-13142S), S
n3:dodaniDat
n19:2015
n3:domaciTvurceVysledku
n12:4368649
n3:druhVysledku
n8:D
n3:duvernostUdaju
n20:S
n3:entitaPredkladatele
n10:predkladatel
n3:idSjednocenehoVysledku
15030
n3:idVysledku
RIV/61989100:27510/14:86090838
n3:jazykVysledku
n7:eng
n3:klicovaSlova
insurance; capital requirements; Solvency II; Monte Carlo simulation
n3:klicoveSlovo
n5:capital%20requirements n5:Monte%20Carlo%20simulation n5:Solvency%20II n5:insurance
n3:kontrolniKodProRIV
[B4B8BB13D1A1]
n3:mistoKonaniAkce
Ostrava
n3:mistoVydani
Ostrava
n3:nazevZdroje
Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
n3:obor
n9:AE
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n21:GA13-13142S
n3:rokUplatneniVysledku
n19:2014
n3:tvurceVysledku
Daníšek Matušková, Petra
n3:typAkce
n6:EUR
n3:zahajeniAkce
2014-09-08+02:00
s:numberOfPages
8
n18:hasPublisher
Vysoká škola báňská - Technická univerzita Ostrava
n4:isbn
978-80-248-3631-7
n17:organizacniJednotka
27510