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Volume 5, Issue 1-1, February 2016, Page: 1-13
Identification of Company-Specific Stress Scenarios in Non-Life Insurance
Wiltrud Weidner, Institute for Risk and Insurance, Leibniz University Hanover, Hanover, Germany
J.-Matthias Graf von der Schulenburg, Institute for Risk and Insurance, Leibniz University Hanover, Hanover, Germany
Received: Apr. 18, 2015;       Accepted: Apr. 23, 2015;       Published: Jun. 10, 2015
DOI: 10.11648/j.acm.s.2016050101.11      View  4306      Downloads  145
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.
Non-Life Insurance, Solvency II, Risk Management, Dynamic Financial Analysis, Stress Testing, Copulas
To cite this article
Wiltrud Weidner, J.-Matthias Graf von der Schulenburg, Identification of Company-Specific Stress Scenarios in Non-Life Insurance, Applied and Computational Mathematics. Special Issue: Computational Methods in Monetary and Financial Economics. Vol. 5, No. 1-1, 2016, pp. 1-13. doi: 10.11648/j.acm.s.2016050101.11
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