Christian Sutherland-Wong and Michael Sherris
Abstract
We study the issues in determining regulatory capital requirements using advanced modeling by assessing and comparing capital requirements under the two alternative approaches. A dynamic financial analysis (DFA) model is used for this case study. These issues are of current international interest as regulators, insurers, and actuaries face the significant issues involved with the introduction of risk-based capital for insurers.
Key words and phrases: insurer solvency, standardized solvency assessment, advanced modeling, dynamic financial analysis
Corresponding Author:
Michael Sherris
Actuarial Studies
Faculty of Commerce and Economics
Sydney, NSW
E-mail: m.sherris@unsw.edu.au
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