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dc.contributor.authorBertram, Philipen_US
dc.contributor.authorSibbertsen, Philippen_US
dc.contributor.authorStahl, Gerharden_US
dc.date.accessioned2011-04-01en_US
dc.date.accessioned2012-11-06T15:27:12Z-
dc.date.available2012-11-06T15:27:12Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/66014-
dc.description.abstractThis paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution and model risk in functional form. By the quantification of these concepts we analyze the impact of the modeling process of an econometric model on the resulting company model. Utilizing real insurance data we specify, estimate and simulate various linear and nonlinear time series models for the inflation rate and examine its impact on pension liabilities under the aspect of model risk. Under consideration of different risk measures it is shown that model risk can differ profoundly due to the specification process of the econometric model resulting in remarkable monetary differences concerning capital reserves. We furthermore propose a specification strategy for univariate time series models and demonstrate that thereby market risk and capital reserves can be reduced distinctively.en_US
dc.language.isoengen_US
dc.publisherWirtschaftswiss. Fak., Leibniz Univ. Hannoveren_US
dc.relation.ispartofseriesDiscussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 469en_US
dc.subject.jelG12en_US
dc.subject.jelG18en_US
dc.subject.ddc330en_US
dc.subject.keywordModel risken_US
dc.subject.keywordestimation risken_US
dc.subject.keywordmisspecification risken_US
dc.subject.keywordBasel multiplication factoren_US
dc.subject.keywordempirical model specificationen_US
dc.subject.keywordcapital reservesen_US
dc.subject.stwÖkonometrisches Modellen_US
dc.subject.stwRisikoen_US
dc.subject.stwStatistischer Fehleren_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwVersicherungstechnisches Risikoen_US
dc.subject.stwBasler Akkorden_US
dc.subject.stwTheorieen_US
dc.titleAbout the impact of model risk on capital reserves: A quantitative analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn655209786en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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