marketValueMargin.sstOutput

object

numeric value of length one. The factor for non-headgeable market risk in
market value margin computations. Default to <code>NULL</code>, in this case the sstOutput
 must contain this parameter. This parameter overrides <code>nhmr</code> in
 objects of class <code>sstOutput</code>.

nhmr

aditional parameters to be passed on to <code>expectedShortfall</code>.

S3 generic method to compute the
 market value margin (MVM).

Framework for the implementation of solvency related computations based on
standard models for the Swiss Solvency Test (SST), a risk-based capital standard for Swiss
insurance companies. Allows Monte Carlo simulation of market risk, some insurance risks and
their aggregation. Additional toolbox for preprocessing computations. Convenient 'shiny' GUI
combined with a parser for an input 'excel' (.xlsx) template to simplify model configuration,
data fill-in and results visualization.

Michael Schmutz

sstModel

marketValueMargin.sstOutput: Compute the Market Value Margin (MVM)

Description

Usage

Arguments

Value

See Also