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Constructing the models that can generate possible economic scenarios of the returns on major asset classes is essential for solvency assessment. The key issues in establishing a comprehensive ESG models include: how to deal with the large number of risk factors, how to model the dynamics of some chosen factors, and how to incorporate the relations among(More)
Empirical studies have shown that the risk-based capital (RBC) implemented in the insurance industries of the United States is ineffective in solvency prediction. This paper investigated how the correlation specification in obtaining Total RBC After Covariance affects the efficacy of RBC. We conducted simulations to compare the effectiveness and the(More)
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