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Inkonsistenzen im mathematischen Formelwerk in Solvency 2

Inkonsistenzen im mathematischen Formelwerk in Solvency 2

Inkonsistenzen im mathematischen Formelwerk in Solvency 2

Jens Splettstößer

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Editorial:
GRIN Publishing
Año de edición:
2016
Materia
Matemáticas
ISBN:
9783668243965

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Sobre IBD

Diplomarbeit aus dem Jahr 2013 im Fachbereich Mathematik - Sonstiges, Note: 1,3, Carl von Ossietzky Universität Oldenburg, Sprache: Deutsch, Abstract: Ziel dieser Arbeit ist die Darlegung der Inkonsistenzen in dem Standardmodell, die im Wesentlichen durch zwei Umstände entstehen.Die verwendete Wurzelformel zur Bestimmung des Gesamt-SCR aggregiert die einzelnen Risiken mit Hilfe der Korrelation. Dadurch wird im Allgemeinen die gemeinsame Verteilung nicht eindeutig bestimmt. Durch diesen Umstand unter- bzw. überschätzt die Wurzelformel den wahren SCR für viele Verteilungen.Im Allgemeinen ist das verwendete Risikomaß Value-at-Risk nicht subadditiv und somit nicht kohärent, wodurch ein falscher Diversifikationseffekt auftritt.

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