. "15029" . "RIV/61989100:27510/14:86090835" . "Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings" . . "http://mme2014.upol.cz/downloads/MME_2014_Proceedings.pdf" . "6"^^ . "Dan\u00ED\u0161ek Matu\u0161kov\u00E1, Petra" . . . . . . . . "Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies"@en . "Olomouc" . "Olomouc" . . "Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies" . "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\u2019 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." . . "RIV/61989100:27510/14:86090835!RIV15-MSM-27510___" . . "Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies"@en . "P(GA13-13142S), S" . . "978-80-244-4209-9" . . "27510" . . "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\u2019 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 . . "1"^^ . "[418FEDC47B9F]" . "Estimating Capital Requirement According to Solvency II and its Impact on Insurance Companies" . . "Univerzita Palack\u00E9ho v Olomouci" . "1"^^ . . "2014-09-10+02:00"^^ . "insurance; capital requirements; Solvency II; Monte Carlo simulation"@en .