Abstract

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.

中文翻译：

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初步回顾：Solvency II 下的模型表现

摘要

我们考虑对偿付能力 II 下的偿付能力资本要求 (SCR) 进行实证回测。根据经验事实，基本自有基金 (BoF) 可以假设为对数正态演化，并且其波动性远低于我们测试数据的相应权益，我们提出基于风险收益 (EaR) 的建议，该建议可以是用于以审慎的方式减少超调 SCR 估计带来的偏差。