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- W2460121383 abstract "Insurance companies have increasingly used quantitative decision-making tools for a number of years. They have routinely taken advantage of models for a large number of business activities (underwriting policies, transferring risks, determining reserve adequacy, managing assets and liabilities, valuing risk exposures and financial instruments,..), but they now appeal to models for more ambitious ends like development of new products or strategic planning. Moreover, the new quantitative regulatory requirements of Solvency II, as well as various stakeholders’ expectations (including rating agencies, analysts, financial markets,...) push companies to develop more and more sophisticated models, not only for more complex products, but also for improved enterprise risk management. The expanding use of models reflects the range to which models can improve business decisions. But they also can lead to wrong decisions and potential adverse consequences when they are incorrect or misused, which is known as model risk. An active management that addresses these consequences has to be organised by insurance companies. In this chapter, we first try to understand what model risk is. In a second part, we discuss several approaches to measure model risk. In a third part, we raise the problem of model risk management and present several procedures to mitigate it. In a last part, we discuss the issue of model risk for the new regulatory framework Solvency II." @default.
- W2460121383 created "2016-07-22" @default.
- W2460121383 creator A5055321486 @default.
- W2460121383 date "2016-01-01" @default.
- W2460121383 modified "2023-09-26" @default.
- W2460121383 title "The Threat of Model Risk for Insurance Companies" @default.
- W2460121383 doi "https://doi.org/10.1007/978-3-319-29776-7_8" @default.
- W2460121383 hasPublicationYear "2016" @default.
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