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Introducing the EDHEC-Risk Solvency Benchmarks - Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints.
AMENC Noël ; COCQUEMAS François ; DEGUEST Romain ; FOULQUIER Philippe ; MARTELLINI Lionel ; SENDER Samuel
2012
141
428.81-AMENC
| No. | Call n° | Bar code | Commentary | |
|---|---|---|---|---|
| 1 | [available] | |||
| 2 | [available] |
Contents : Executive Summary
Part I. Challenges related to Equity Investments within the Solvency II Regulatory Framework
1. Solvency II : Boosting the on-going cultural revolution of insurance companies
2. Solvency II : A risk-based approach through a modular structure
3. Market risk module in Solvency II Pillar I
4. Implementing of a partial internal model : Solvency II and financial risk management
5. Implementing of partial internal models : Auditing and validating under Solvency
6. Conclusion
Part II. Introducing the Solvency II Investment Benchmarks
1. The LCI/RCI paradigms
2. A format dynamic allocation model in the presence of Solvency II constraints
3. From stylised strategies to real world solutions
4. Calibration of the model
5. Numerical analysis
6. Conclusion
Appendix
References
About Russel Investments
About EDHEC-Risk Institute
EDHEC-Risk Institute Publications and Position Papers (2009-2012)
Language : English
Series : PUBLICATION EDHEC
Material : Electronic ; Paper