[SFdS] Information du groupe Risques AEF : WG Risk - 13 May 2025

Dear all,

We have the pleasure thanks to the support of the ESSEC IDO department/Ceressec, the Institut des Actuaires, the Labex MME-DII (CY) and the Risques AEF - SFdS group, to invite you to the seminar by:

Date: Tuesday, 13 May 2025, at 12.30pm (CET)

Dual format: ESSEC Paris La Défense (CNIT), Room TBA
and via Zoom, please click here

A first look back: model performance under Solvency II

We consider an empirical backtesting for the Solvency Capital Required (SCR) under Solvency II. Based on empirical facts that the Basic own Funds (BoF) can be assumed to evolve log-normally and have a much lower volatility than the corresponding equity for our test data, we make a proposal based on Earnings at Risk (EaR) that can be used to reduce the biases from overshooting SCR estimates in a prudential way.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, Marie Kratz and Riada Djebbar (Singapore Actuarial Society - ERM)