SOLVENCY II: METHODOLOGICAL ASPECTS OF USING VALUE-AT-RISK FOR INSURANCE
SOLVENCY II: METHODOLOGICAL ASPECTS OF USING VALUE-AT-RISK FOR INSURANCE

Summary/Abstract: Built on a three-pillar structure, the new European System of Insurance solvency “Solvency II” aims to ensure that insurance companies measure and manage better the risks they are expose. The consultation on the first pillar, on the quantitative requirements, largely refers to two well-known measures of risks: Value-at-Risk and Tail Value-at-Risk. The measuring of an insurance risk using the VaR technique claims certain adjustments. In this piece of work, we will present the context of VaR insurance application

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