98112 hdl_2072_13171 oai:www.recercat.cat:2072/179582 This paper examines why a financial entity’s solvency capital estimation might be underestimated if the total amount required is obtained directly from a risk measurement. Using Monte Carlo simulation we show that, in some instances, a common risk measure such as Value-at-Risk is not subadditive when certain dependence structures are considered. Higher risk evaluations are obtained for independence between random variables than those obtained in the case of comonotonicity. The paper stresses, therefore, the relationship between dependence structures and capital estimation. eng Ferri Vidal, Antoni Guillén, Montserrat Bermúdez, Lluís Xarxa de Referència en Economia Aplicada (XREAP) Xarxa de Referència en Economia Aplicada (XREAP) 2012 Solvency Capital estimation and Risk Measures 26 p. L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by/3.0/es/ info:eu-repo/semantics/openAccess 33 336 Monte Carlo method Financial institutions Risk management Mètode de Montecarlo Institucions financeres Gestió del risc info:eu-repo/semantics/workingPaper XREAP2012-02 ; ESTUDIS UAB 26 278389 http://ddd.uab.cat/pub/estudis/2012/hdl_2072_179582/XREAP2012-02.pdf Adreça alternativa http://hdl.handle.net/2072/179582 driver oai:ddd.uab.cat:98112