Proceedings of the 2016 International Conference on Applied Mathematics, Simulation and Modelling

A Six Sigma Approach to Internal ALM Models for Solvency II

Authors
Vojo Bubevski
Corresponding Author
Vojo Bubevski
Available Online May 2016.
DOI
https://doi.org/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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Volume Title
Proceedings of the 2016 International Conference on Applied Mathematics, Simulation and Modelling
Series
Advances in Computer Science Research
Publication Date
May 2016
ISBN
978-94-6252-198-8
ISSN
2352-538X
DOI
https://doi.org/10.2991/amsm-16.2016.74How to use a DOI?
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/).

Cite this article

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  - https://doi.org/10.2991/amsm-16.2016.74
ID  - Bubevski2016/05
ER  -