LTD “STRŪŽĀNU SILTUMS’’ SOLVENCY ESTIMATION

Solvency II

The insurance industry needs to be regulated to protect policyholders. This is the main objective of the Solvency II directive – the new insurance regulations for the European Economic Area. In short, it requires insurance companies to act responsibly with the money they have been entrusted with. It is estimated that implementing Solvency II will cost 2-3 billion Euro. It has the potential to c...

Solvency Games

We study the decision theory of a maximally risk-averse investor — one whose objective, in the face of stochastic uncertainties, is to minimize the probability of ever going broke. With a view to developing the mathematical basics of such a theory, we start with a very simple model and obtain the following results: a characterization of best play by investors; an explanation of why poor and ric...

Corporate liquidity and solvency

This paper studies the impact of both solvency and liquidity concerns on corporate …nance. The …rm optimally chooses capital structure, cash holdings, dividends and default while facing stochastic cash ‡ows with two sources of uncertainty. The expected cash ‡ows are uncertain and low pro…tability leads to solvency distress. Moreover, cash ‡ows are subject to liquidity shocks that cause liquidit...

Note to the Solvency Subcommittee

Least-Squares Monte Carlo Simulation and High Performance Computing for Solvency II Regulatory Capital Estimation

Financial institutions stand at the edge of what is called a dynamic environment. Acting fast is a vital requirement of this environment. On the top of that, changes at the regulations [31, 32] make institutions’ obligations more complex and compute intensive than ever. Financial researchers try constantly to create new models and improve the existing ones to reduce the complexity and make them...