|20th April 2012 | 16-17 o'clock CEST|
EAA Webinar "Risk Aggregation in the Context of Solvency II"
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Under the Solvency II framework, the insurers should calculate the 99.5th percentile of the distribution of their PVFP (Present Value of Future Profits) after 1 projection year. In an Internal Model, the insurers are also required to calculate the full probability distribution forecast.
In this webinar, we begin by introducing the risk aggregation approach of the Solvency II standard formula and discussing the limitations of this approach.
In theory, a full probability distribution can be calculated via a nested stochastic approach, but this is quite cumbersome due to the run time constraints in practice. Thus, we consider some proxy modelling techniques such as Replicating Portfolio or Least Squares Monte Carlo.
We conclude the webinar by outlining a range of possible applications in the Solvency II beyond the calculation of a 1-year probability distribution forecast.