Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice by Arne Sandstrom

Cha pman and Ha ll/C R C | 2010 | ISBN: 1439821305 | 1113 pages | PDF | 17 MB

The first three sections of the book examine the solvency concept, historical development, and the role of solvency in an enterprise risk management approach. The text provides a general discussion on valuation, investment, and capital, along with modeling and measuring. It also covers dependence, risk measures, capital requirements, subrisks, aggregation, the main risks market, and credit, operational, liquidity, and underwriting risks. The last three sections focus on the European Solvency II project. Basing the material on CEIOPS final advice, the author presents the general ideas, valuation, investments, and funds of this project as well as the standard formula framework. He also includes all calibrations from previous quantitative impact studies and discusses the political progress of the project.

 

 

 

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