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 |
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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 |
| _version_ | 1818436783903342592 |
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| author | Pablo Durán Santomil Luís Otero González Onofre Martorell Cunill Anna M. Gil-Lafuente |
| author_facet | Pablo Durán Santomil Luís Otero González Onofre Martorell Cunill Anna M. Gil-Lafuente |
| author_sort | Pablo Durán Santomil |
| collection | DOAJ |
| description | 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 considered that returns derived from valuation-based indices are smoother than those derived from transaction-based indices. This paper contributes to the existing literature by applying various unsmoothing techniques to this index. The results show that the capital requirements, applying the same calculation method (historical value at risk at the 99.5% confidence level) as in the calibration of the standard model, are generally bigger than those proposed in the standard model of Solvency II. |
| first_indexed | 2024-12-14T17:14:16Z |
| format | Article |
| id | doaj.art-8eee04c3712d4a66a6e614dd07aae50d |
| institution | Directory Open Access Journal |
| issn | 2029-4913 2029-4921 |
| language | English |
| last_indexed | 2024-12-14T17:14:16Z |
| publishDate | 2019-01-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Technological and Economic Development of Economy |
| spelling | doaj.art-8eee04c3712d4a66a6e614dd07aae50d2022-12-21T22:53:28ZengVilnius Gediminas Technical UniversityTechnological and Economic Development of Economy2029-49132029-49212019-01-0125111910.3846/tede.2019.6213PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUESPablo Durán Santomil0Luís Otero González1Onofre Martorell Cunill2Anna M. Gil-Lafuente3University of Santiago de CompostelaUniversity of Santiago de CompostelaUniversity of the Balearic IslandsUniversity of BarcelonaSolvency 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 considered that returns derived from valuation-based indices are smoother than those derived from transaction-based indices. This paper contributes to the existing literature by applying various unsmoothing techniques to this index. The results show that the capital requirements, applying the same calculation method (historical value at risk at the 99.5% confidence level) as in the calibration of the standard model, are generally bigger than those proposed in the standard model of Solvency II.https://doi.org/10.3846/tede.2019.6213Solvency IIinternal modelstandard modelproperty riskQIS5unsmoothing returnsIPD UK index |
| spellingShingle | Pablo Durán Santomil Luís Otero González Onofre Martorell Cunill Anna M. Gil-Lafuente PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES Technological and Economic Development of Economy Solvency II internal model standard model property risk QIS5 unsmoothing returns IPD UK index |
| title | PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES |
| title_full | PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES |
| title_fullStr | PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES |
| title_full_unstemmed | PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES |
| title_short | PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES |
| title_sort | property risk under solvency ii effects of different unsmoothing techniques |
| topic | Solvency II internal model standard model property risk QIS5 unsmoothing returns IPD UK index |
| url | https://doi.org/10.3846/tede.2019.6213 |
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