PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES
研究了欧盟偿付能力II框架下财产风险标准模型的校准问题，通过应用多种去平滑技术处理IPD英国月度指数数据，发现资本要求通常高于标准模型建议值。
Solvency II imposes risk-based capital requirements on EU insurance companies. This paper evaluates the property risk standard model proposed. The calibration was performed from the IPD UK monthly index total returns for the period between December 1986 and December 2009. In general, it is considered that returns derived from valuation-based indices are smoother than those derived from transaction-based indices. This paper contributes to the existing literature by applying various unsmoothing techniques to this index. The results show that the capital requirements, applying the same calculation method (historical value at risk at the 99.5% confidence level) as in the calibration of the standard model, are generally bigger than those proposed in the standard model of Solvency II.