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Identification of Company-Specific Stress Scenarios in Non-Life Insurance

Received: 18 April 2015     Accepted: 23 April 2015     Published: 10 June 2015
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Abstract

This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.

Published in Applied and Computational Mathematics (Volume 5, Issue 1-1)

This article belongs to the Special Issue Computational Methods in Monetary and Financial Economics

DOI 10.11648/j.acm.s.2016050101.11
Page(s) 1-13
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Non-Life Insurance, Solvency II, Risk Management, Dynamic Financial Analysis, Stress Testing, Copulas

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Cite This Article
  • APA Style

    Wiltrud Weidner, J.-Matthias Graf von der Schulenburg. (2015). Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Applied and Computational Mathematics, 5(1-1), 1-13. https://doi.org/10.11648/j.acm.s.2016050101.11

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    ACS Style

    Wiltrud Weidner; J.-Matthias Graf von der Schulenburg. Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Appl. Comput. Math. 2015, 5(1-1), 1-13. doi: 10.11648/j.acm.s.2016050101.11

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    AMA Style

    Wiltrud Weidner, J.-Matthias Graf von der Schulenburg. Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Appl Comput Math. 2015;5(1-1):1-13. doi: 10.11648/j.acm.s.2016050101.11

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  • @article{10.11648/j.acm.s.2016050101.11,
      author = {Wiltrud Weidner and J.-Matthias Graf von der Schulenburg},
      title = {Identification of Company-Specific Stress Scenarios in Non-Life Insurance},
      journal = {Applied and Computational Mathematics},
      volume = {5},
      number = {1-1},
      pages = {1-13},
      doi = {10.11648/j.acm.s.2016050101.11},
      url = {https://doi.org/10.11648/j.acm.s.2016050101.11},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.acm.s.2016050101.11},
      abstract = {This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.},
     year = {2015}
    }
    

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    AB  - This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.
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Author Information
  • Institute for Risk and Insurance, Leibniz University Hanover, Hanover, Germany

  • Institute for Risk and Insurance, Leibniz University Hanover, Hanover, Germany

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