PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES
Solvency II imposes risk-based capital requirements on EU insurance companies. This paper evaluates the property risk standard model proposed. The calibration was performed from the IPD UK monthly index total returns for the period between December 1986 and December 2009. In general, it is considere...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2019-01-01
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| Series: | Technological and Economic Development of Economy |
| Subjects: | |
| Online Access: | https://doi.org/10.3846/tede.2019.6213 |