An effective equity model allowing long term investments within the framework of Solvency II
type: Dataset
description: We propose an effective equity model adapted for medium term and long term risk assessment. One of its specific aspects is to allow an asymetrical dampening of the equity risk (called the dampener effect) conditional to the cyclical level of equity prices and to enable accurate Value At Risk assessements for medium and long term horizons (1 year and beyond). For a set of selected equity indexes we compare its relevancy for the 1-year 99.5% Value At Risk (VaR) assessment with the different releases of the Solvency II dampener equity models. In a second step we test its relevancy for VaR assessments beyond a 1 year investment horizon. We show in our analysis that this alternative model gives quite good results and outperforms widely the others tested. It appears particularly suitable for insurance companies and pension funds given their medium or long term asset management process.
issued: 2026-05-10T05:53:44.494558
language: en
modified: 2026-05-10T05:53:44.494563
contact point: Organization
  fn: CCSD
keyword: back-testing
keyword: dampener
keyword: infoeu-reposemanticspreprint
keyword: long-term-equity-risk-assessment
keyword: preprints-working-papers-
keyword: qfinrmquantitative-finance-q-finrisk-management-q-finrm
keyword: solvency-ii
keyword: standard-formula
keyword: value-at-risk
landing page: https://hal.science/hal-00847887

An effective equity model allowing long term investments within the framework of Solvency II
type: Distribution
format: HTML
issued: 2026-05-10T05:53:44.510894
modified: 2026-05-10T05:53:44.483846
access URL: https://hal.science/hal-00847887

test_moissonnage_selune
type: Agent