POJISTNà ROZPRAVY - Pojistný obzor
POJISTNà ROZPRAVY - Pojistný obzor
POJISTNà ROZPRAVY - Pojistný obzor
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
• Panjer, H. (2002): Measurement of risk, solvency requirements and allocation of capital within fi nancial<br />
conglomerates. AFIR/ICA, Cancun.<br />
• Rantala, J. (2003): A standard approach for the underwriting risk in non-life. Working Paper CEA.<br />
• Rantala, J. (2004a): A standard approach for asset/liability risk in life insurance. Working Paper CEA.<br />
• Rantala, J. (2004b): Illustrations of magnitude of some parameters in the standard approach. Working<br />
Paper CEA.<br />
• Sandström, A. (2006): Solvency. Models, assessment and regulation. Chapman & Hall/CRC. London.<br />
• Sandström, A. (2007): Solvency-a historical review and some pragmatic solutions. Mitteilungen der Schweiz.<br />
Aktuarvereinigung, 11-33.<br />
• Sharma, P. (2002): Prudential supervision of insurance undertakings. Conference of CEIOPS.<br />
• Schmeiser, H. (2004): New risk-based capital standards in the European Union: a proposal based on<br />
empirical data. Risk Management and Insurance Review 7, 41-52.<br />
• Schreckenberg, S. (2007): Solvency II development in Europe. Mitteilungen der Schweiz. Aktuarvereinigung,<br />
35-51.<br />
• SST (2004): The risk margin for the Swiss solvency test. Swiss Federal Offi ce for Private Insurance.<br />
• van Broekhoven, H. (2002): Market value of liabilities mortality risk: a practical model. North American<br />
Actuarial Journal 6, 95-106.<br />
• Wang, S. S. (1998): Aggregation of correlated risk portfolios: models and algorithms. Casualty Actuarial<br />
Society 85, 848-939.<br />
• Watson, W. (2003): Calibration of the general gnsurance risk based capital model. Watson Wyatt LLP (for<br />
Financial Services Authority), London.<br />
• Watson, W. (2004): Calibration of the enhanced capital requirement for with-profi t life insurers. Watson Wyatt<br />
LLP (for Financial Services Authority), London.<br />
• Wright, P. (2006): A view of the IASB’s work on accounting for insurance contracts and fi nancial instruments.<br />
The 28 th International Congress of Actuaries in Paris.<br />
Solvency: theory and practice<br />
The paper deals with various theoretical and practical aspects of solvency schemes but it addresses primarily<br />
Solvency II. The aspects considered are from the point of view of an accountant (e.g. fair value), an actuary (e.g.<br />
risk theory) and a regulator (e.g. conformity with Basel II). Suggestions for capital requirement formulas according<br />
to the new principles of Solvency II are given.<br />
65
Change language