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http://hdl.handle.net/2445/58519
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DC Field | Value | Language |
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dc.contributor.author | Bermúdez, Lluís | - |
dc.contributor.author | Ferri Vidal, Antoni | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.date.accessioned | 2014-10-13T10:40:44Z | - |
dc.date.available | 2014-10-13T10:40:44Z | - |
dc.date.issued | 2011 | - |
dc.identifier.issn | 2014-1254 | - |
dc.identifier.uri | http://hdl.handle.net/2445/58519 | - |
dc.description.abstract | This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement -SCR-, under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation. | - |
dc.format.extent | 28 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2011/201113.pdf | - |
dc.relation.ispartof | IREA – Working Papers, 2011, IR11/13 | - |
dc.relation.ispartofseries | [WP E-IR11/13] | - |
dc.rights | cc-by-nc-nd, (c) Bermúdez et al., 2011 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) | - |
dc.subject.classification | Risc (Economia) | - |
dc.subject.classification | Avaluació del risc | - |
dc.subject.classification | Correlació (Estadística) | - |
dc.subject.other | Risk | - |
dc.subject.other | Risk assessment | - |
dc.subject.other | Correlation (Statistics) | - |
dc.title | A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation [WP] | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2014-10-13T10:40:44Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
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IR11-013_Bermudez-Ferri.pdf | 583.58 kB | Adobe PDF | View/Open |
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