RecessionRisk<sup>+</sup>: A Novel Recession Risk Model with Applications to the Solvency II Framework and Recession Crises Forecasting
The Solvency II regulatory framework requires European insurance companies to guarantee their solvability and stability by retaining enough Own Funds to cover future unexpected losses at a given confidence level. A Standard Formula approach is provided to estimate the capital requirement needed. Sti...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/12/23/3747 |
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