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 a fund can have irrespective of an insurance company’s balance sheet structure. Reporting this worst-case SCR contribution of a fund can provide useful information to insurance companies in the fund screening process.
For details on the article see: https://authors.elsevier.com/c/1Vew9c7vgHdF8 (paper accessible until October 21, 2017)