Identification of Company-Specific Stress Scenarios in Non-Life Insurance

Wiltrud Weidner; J.-Matthias Graf von der Schulenburg

doi:doi:10.11648/j.acm.s.2016050101.11

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Identification of Company-Specific Stress Scenarios in Non-Life Insurance

Wiltrud Weidner, J.-Matthias Graf von der Schulenburg

Published in Applied and Computational Mathematics (Volume 5, Issue 1-1)

Received: 18 April 2015 Accepted: 23 April 2015 Published: 10 June 2015

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Abstract

This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.

Published in	Applied and Computational Mathematics (Volume 5, Issue 1-1) This article belongs to the Special Issue Computational Methods in Monetary and Financial Economics
DOI	10.11648/j.acm.s.2016050101.11
Page(s)	1-13
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Non-Life Insurance, Solvency II, Risk Management, Dynamic Financial Analysis, Stress Testing, Copulas

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Wiltrud Weidner, J.-Matthias Graf von der Schulenburg. (2015). Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Applied and Computational Mathematics, 5(1-1), 1-13. https://doi.org/10.11648/j.acm.s.2016050101.11

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ACS Style

Wiltrud Weidner; J.-Matthias Graf von der Schulenburg. Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Appl. Comput. Math. 2015, 5(1-1), 1-13. doi: 10.11648/j.acm.s.2016050101.11

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AMA Style

Wiltrud Weidner, J.-Matthias Graf von der Schulenburg. Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Appl Comput Math. 2015;5(1-1):1-13. doi: 10.11648/j.acm.s.2016050101.11

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@article{10.11648/j.acm.s.2016050101.11,
  author = {Wiltrud Weidner and J.-Matthias Graf von der Schulenburg},
  title = {Identification of Company-Specific Stress Scenarios in Non-Life Insurance},
  journal = {Applied and Computational Mathematics},
  volume = {5},
  number = {1-1},
  pages = {1-13},
  doi = {10.11648/j.acm.s.2016050101.11},
  url = {https://doi.org/10.11648/j.acm.s.2016050101.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.acm.s.2016050101.11},
  abstract = {This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.},
 year = {2015}
}

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TY  - JOUR
T1  - Identification of Company-Specific Stress Scenarios in Non-Life Insurance
AU  - Wiltrud Weidner
AU  - J.-Matthias Graf von der Schulenburg
Y1  - 2015/06/10
PY  - 2015
N1  - https://doi.org/10.11648/j.acm.s.2016050101.11
DO  - 10.11648/j.acm.s.2016050101.11
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JF  - Applied and Computational Mathematics
JO  - Applied and Computational Mathematics
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AB  - This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.
VL  - 5
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Author Information

Wiltrud Weidner

Institute for Risk and Insurance, Leibniz University Hanover, Hanover, Germany
J.-Matthias Graf von der Schulenburg

Institute for Risk and Insurance, Leibniz University Hanover, Hanover, Germany

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Wiltrud Weidner, J.-Matthias Graf von der Schulenburg. (2015). Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Applied and Computational Mathematics, 5(1-1), 1-13. https://doi.org/10.11648/j.acm.s.2016050101.11

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ACS Style

Wiltrud Weidner; J.-Matthias Graf von der Schulenburg. Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Appl. Comput. Math. 2015, 5(1-1), 1-13. doi: 10.11648/j.acm.s.2016050101.11

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AMA Style

Wiltrud Weidner, J.-Matthias Graf von der Schulenburg. Identification of Company-Specific Stress Scenarios in Non-Life Insurance. Appl Comput Math. 2015;5(1-1):1-13. doi: 10.11648/j.acm.s.2016050101.11

Copy | Download

@article{10.11648/j.acm.s.2016050101.11,
  author = {Wiltrud Weidner and J.-Matthias Graf von der Schulenburg},
  title = {Identification of Company-Specific Stress Scenarios in Non-Life Insurance},
  journal = {Applied and Computational Mathematics},
  volume = {5},
  number = {1-1},
  pages = {1-13},
  doi = {10.11648/j.acm.s.2016050101.11},
  url = {https://doi.org/10.11648/j.acm.s.2016050101.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.acm.s.2016050101.11},
  abstract = {This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.},
 year = {2015}
}

Copy | Download

TY  - JOUR
T1  - Identification of Company-Specific Stress Scenarios in Non-Life Insurance
AU  - Wiltrud Weidner
AU  - J.-Matthias Graf von der Schulenburg
Y1  - 2015/06/10
PY  - 2015
N1  - https://doi.org/10.11648/j.acm.s.2016050101.11
DO  - 10.11648/j.acm.s.2016050101.11
T2  - Applied and Computational Mathematics
JF  - Applied and Computational Mathematics
JO  - Applied and Computational Mathematics
SP  - 1
EP  - 13
PB  - Science Publishing Group
SN  - 2328-5613
UR  - https://doi.org/10.11648/j.acm.s.2016050101.11
AB  - This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.
VL  - 5
IS  - 1-1
ER  -

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