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dc.contributor.authorBertram, Philipen
dc.contributor.authorSibbertsen, Philippen
dc.contributor.authorStahl, Gerharden
dc.date.accessioned2011-04-01-
dc.date.accessioned2012-11-06T15:27:12Z-
dc.date.available2012-11-06T15:27:12Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x469en
dc.subject.jelG12en
dc.subject.jelG18en
dc.subject.ddc330en
dc.subject.keywordModel risken
dc.subject.keywordestimation risken
dc.subject.keywordmisspecification risken
dc.subject.keywordBasel multiplication factoren
dc.subject.keywordempirical model specificationen
dc.subject.keywordcapital reservesen
dc.subject.stwÖkonometrisches Modellen
dc.subject.stwRisikoen
dc.subject.stwStatistischer Fehleren
dc.subject.stwZeitreihenanalyseen
dc.subject.stwVersicherungstechnisches Risikoen
dc.subject.stwBasler Akkorden
dc.subject.stwTheorieen
dc.titleAbout the impact of model risk on capital reserves: A quantitative analysis-
dc.typeWorking Paperen
dc.identifier.ppn655209786en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-469en

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