Identification of Company-Specific Stress Scenarios in Non-Life Insurance

Wiltrud Weidner
2016 Applied and Computational Mathematics  
This paper provides an effective approach, known as dynamic financial analysis, to the systematic development of stress scenarios for the risk profile of non-life insurers, which can be used in risk analysis for the regulatory and rating assessment. The determination of company-specific stress scenarios is demonstrated, the resulting critical scenarios are described. Non-linear dependencies have a significant impact on the scenarios, some of which have not previously been adequately considered
more » ... quately considered are introduced. The recent global financial crisis illustrates that the analysis of extreme events, which can affect both sides of the balance sheet, is essential in an asset-liability management context.
doi:10.11648/j.acm.s.2016050101.11 fatcat:pz7tnj37pfekfiy76s2mtviry4