P, Q og solvenshensættelser. Hvad er det egentlig vi snakker om?

For nylig deltog jeg i en diskussion om værdiansættelse af hensættelserne under Solvens II. Diskussionen kredsede om forskellen mellem P-mål og Q-mål – hvilket kræver en forklaring i sig selv – og hvad der egentlig er mest rigtigt at bruge. Selvfølgelig er det ikke forklaret i Solvens II-regelværket, så det er helt fair at blive Read more about P, Q og solvenshensættelser. Hvad er det egentlig vi snakker om?[…]

Regarding cake, your ESG shall (a) consume it, (b) retain it

I recently attended a conference where the following question came up: when you calibrate an Economic Scenario Generator for computing Solvency II technical provisions, which risk-free interest do you calibrate it to? The risk-free rate as defined by Solvency II, or the one observed in the market? That turns out to be a tricky question… Read more about Regarding cake, your ESG shall (a) consume it, (b) retain it[…]

Tired of running stochastic scenarios for your technical provisions? You can probably do with a lot fewer

Two weeks ago, I wrote up a little piece on three ingredients to make Solvency II Technical Provisions – and a lot of similar problems – easier. One of those was to choose your random numbers right, which sounds like a contradiction in terms. It turns out, you can do some neat tricks without ruining Read more about Tired of running stochastic scenarios for your technical provisions? You can probably do with a lot fewer[…]