Category: Research

Publication in Insurance: Mathematics and Economics 76 (2017) A fund’s contribution to an insurance company’s Solvency II Capital Requirement (SCR) does not only depend on the fund but also on the insurance company’s current risk profile. Our paper shows that it is still possible to aggregate SCRs for funds and calculate the worst-case SCR contribution […]

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SCR Classification for Funds

In a nutshell Currently, standard fund reporting templates do not require aggregate figures on Solvency Capital Requirements (SCRs). We propose a conservative SCR aggregation that may be useful to insurance companies who are interested in a simple figure of a fund’s Solvency II risk profile.   The most widely used report, the Solvency II tripartite […]

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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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convertible bond pricing

Convertible bond (CB) pricing functions have to be correctly implemented and tested before assessing their impact on regulatory capital charges. This page is a short summary of our technical paper on convertible bonds and introduces a basic pricing model based on a binomial tree covering CBs with e.g. callable and putable features. Moreover, we extend […]

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