Category: Swiss Solvency Test

SST Optimization

This page provides an intuition for our asset optimisation methodology under SST. The main principles can be applied to both life and non-life insurers’ assets while taking currently held assets as well as liabilities’ market and insurance risk into account. Optimising Assets under the Swiss Solvency Test The standard SST model consists of a Delta-Gamma […]

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sst calculation delta gamma
The standard SST model requires calculating assets' and liabilities' first and second order sensitivities towards market factors. These are known as Deltas and Gammas which need to be calculated for each asset and liability (of a replicating portfolio) individually and added according to their weights in the balance sheet. Computationally this is a quite advanced [...]
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sst fast implementation

In a nutshell SolvencyAnalytics’ Fast Fourier Transform (FFT) based algorithm reduces the SST target capital’s calculation time by a factor of several thousands. This is relevant for various practical applications.   The target capital of the standard SST model (Delta-Gamma model) is typically calculated using Monte Carlo simulations. However, sometimes the speed and precision of […]

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effect of transactions on capital charges

  In a nutshell This paper shows the effect on the (linear) SST coverage ratio when switching from asset A into asset B.   Please click here to download the “The Effect of Transactions on Capital Charges under the Swiss Solvency Test” by Dr. Andreas Niedermayer University of Mannheim and Dr. Daniel Niedermayer

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basic model implementation

  In a nutshell Documentation of the basic SolvencyAnalytics SST model.   Please click here to download the “Implementing the SST Standard Market Model” by Dr. Andreas Niedermayer University of Mannheim, Dr. Daniel Niedermayer and Bryce Kovacs

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