WG Risk :“A first look back: model performance under Solvency II”

The Working Group on Risk - CREAR, with the support of the ESSEC IDO dpt/Ceressec, Institut des actuaires, Labex MME-DII (CY), and the group Risques AEF - SFdS, has the pleasure to invite you to the seminar by :

Prof. Gerhard STAHL, Chief Research & Development Officer of the HDI Group Germany

Prof. Dr. Gerhard Stahl is Chief Research & Development Officer of the HDI Group since 1 August 2023 and Non-Executive Director of HDI Reinsurance (Ireland) SE since 5 May 2023. Until his retirement at the end of July, he was a member of the Executive Board of HDI AG. Gerhard Stahl was also Chief Risk Officer of the HDI Group and Head of Group Risk Management until the end of April 2023. He studied mathematics at the Technical University of Karlsruhe. From 1995 to 2007 he worked at the Federal Financial Supervisory Authority (BaFin). Until 2007, he was head of the Risk Modelling (QRM), the BaFin department responsible for on-site audits of risk management models. He represented BaFin in several working groups in Basel and in CEBS, the Committee of European Banking Supervisors. Before joining BaFin, he was a research assistant at the Faculty of Economics in Heidelberg. He was a member of the advisory board of the CASE Institute at Humboldt University and a Fellow of the Centre for Financial Studies, Frankfurt. He holds an honorary doctorate (Dr. rer. pol. h. c.) from the University of Bamberg for his academic contributions to financial risk management. He has been an honorary professor at the University of Ulm since 2008 and at the University of Hanover since 2010.

“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.

Dual format:

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