A Six Sigma Approach to Internal ALM Models for Solvency II
Available Online May 2016.
- 10.2991/amsm-16.2016.74How to use a DOI?
- investment management; portfolio analysis; asset & liability management; solvency ii; six sigma dmaic; stochastic optimisation; monte carlo simulation
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.
- © 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 - 10.2991/amsm-16.2016.74 ID - Bubevski2016/05 ER -