PRUDENT DECISIONS TO ESTIMATE THE RISK OF LOSS IN INSURANCE
论证了在欧盟偿付能力II指令下，使用极值理论估计保险损失风险的必要性，以支持审慎决策和资本要求评估。
The directive 2009/138/EC „Solvency II”, provides the determination of insurance capital requirements based either on a standard formula or an internal model built by the company and approved by the regulatory authority. The build of an internal model involves the determination of an extreme quantile from the empirical distribution of portfolio. An estimate of this quantile, with a 99.5% confidence level, requires a large number of simulations, each taking into account different scenarios as: insufficient reserves, unfavourable developments of financial assets, etc. The present paper proposes to argue the necessity of the extreme value theory approach in order to estimate the risk of loss for the insurance issue, in accordance with European Directive „Solvency II”, from the perspective of making prudent decisions for the assessment of insurance capital requirements.