Summary |
This book focuses on the valuation of assets and liabilities, the calculation of capital requirement, and the calculation of the standard formula for the European Solvency II project.
The first three sections of the book examines the solvency concepts, 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, subsrisks, aggregation, the main risk 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 progress of the project.
|
