Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/312221 
Year of Publication: 
2023
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 14 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 307-315
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
We consider an empirical backtesting for the Solvency Capital Required (SCR) under Solvency II. Based on empirical facts that the Basic own Funds (BoF) can be assumed to evolve log-normally and have a much lower volatility than the corresponding equity for our test data, we make a proposal based on Earnings at Risk (EaR) that can be used to reduce the biases from overshooting SCR estimates in a prudential way.
Subjects: 
Solvency II
Backtesting
Capital requirement
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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