Resumen de Medición del riesgo de mercado en el estudio de seguros con garantías a largo plazo (LTGA) de Solvencia II
Pablo Durán Santomil, Luis Otero González, Ana Blázquez, Milagros Vivel Búa
Solvency II will completely transform capital requirements for the European insurance industry.
The new regulatory framework proposes a standard model based on value-at-risk (VaR). In this paper we study the standard model proposed on Long Term Guarantees Assessment (LTGA) for measuring market risk of an insurance company. Capital charges are calculated through practical examples of hypothetical insurers and finally we make recommendations on how to reduce these charges.
