A Six Sigma Approach to Internal ALM Models for Solvency II

DOI

10.2991/amsm-16.2016.74How to use a DOI?

Keywords

investment management; portfolio analysis; asset & liability management; solvency ii; six sigma dmaic; stochastic optimisation; monte carlo simulation

Abstract

A Six Sigma method is proposed to improve the investment management process. In addition to conventional stochastic optimisation, simulation and risk management, as a new concept, Six Sigma DMAIC (Define, Measure, Analyse, Improve and Control) is applied by merging DMAIC into portfolio management. The method is applicable to internal models for Solvency II in order to reduce the capital requirements and Value at Risk. By using it, the financial institutions can achieve higher business capabilities and increase their competitive position, which is their ultimate objective.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Vojo Bubevski
PY  - 2016/05
DA  - 2016/05
TI  - A Six Sigma Approach to Internal ALM Models for Solvency II
BT  - Proceedings of the 2016 International Conference on Applied Mathematics, Simulation and Modelling
PB  - Atlantis Press
SP  - 335
EP  - 338
SN  - 2352-538X
UR  - https://doi.org/10.2991/amsm-16.2016.74
DO  - 10.2991/amsm-16.2016.74
ID  - Bubevski2016/05
ER  -