Ruin Probability as a Measure for Solvency II

Solvency Capital Requirement is one of central issues in the Solvency II. Solvency Capital Requirement is the economic capital that an insurance company must hold in order to guarantee a one-year ruin probability of at most 0.005. This article suppose that economic capital of an insurance company can be restated as a compound Poisson surplus process. Then, it develops an approximation method to find out the finite-time ruin probability under such process. Application of our findings has been given though a simulation study.

کلیدواژه ها:

Solvency II ، Solvency Capital Requirement ، Ruin probability ، Compound Poisson Processes ، Mixture exponential (Hyperexponential) distribution ، Heavy-tailed distributions