چکیده مقاله
Solvency Capital Requirement is one of central issues in the Solvency II Solvency Capital Requirement is the economic capital that an insurance company must hold in order to guarantee a one year ruin probability of at most 0 005 This article suppose that economic capital of an insurance company can be restated as a compound Poisson surplus process Then, it develops an approximation method to find out the finite time ruin probability under such process Application of our findings has been given though a simulation study
کلیدواژهها
Solvency Capital Requirement Solvency II Ruin probability Compound Poisson Processes Heavy-tailed distributions Mixture exponential Hyperexponential distribution Heavy tailed distributions
نویسندگان
Amir T. Payandeh Najafabadi
Department of Mathematical Sciences, Shahid Beheshti University, G C Evin, ۱۹۸۳۹۶۳۱۱۳, Tehran, Iran
شیوه ارجاع
Payandeh Najafabadi, Amir T.,1394,Ruin Probability as a Measure for Solvency II,Twenty-second National Conference and Eighth International Conference on Insurance and Development,Tehran
ارائهشده در
مجموعه مقالات بیست و دومین همایش ملی و هشتمین همایش بین المللی بیمه و توسعه1 آذر 1394 · تهران