Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/108212
Title: | A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation |
Author: | Bermúdez, Lluís Ferri Vidal, Antoni Guillén, Montserrat |
Keywords: | Risc (Economia) Avaluació del risc Mètode de Montecarlo Correlació (Estadística) Risk Risk assessment Monte Carlo method Correlation (Statistics) |
Issue Date: | Jan-2013 |
Publisher: | Cambridge University Press |
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. |
Note: | Reproducció del document publicat a: https://doi.org/10.1017/asb.2012.1 |
It is part of: | ASTIN Bulletin , 2013, vol. 43, num. 01, p. 21-37 |
URI: | http://hdl.handle.net/2445/108212 |
Related resource: | https://doi.org/10.1017/asb.2012.1 |
ISSN: | 0515-0361 |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
621966.pdf | 284.35 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.