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dc.contributor.authorBermúdez, Lluís-
dc.contributor.authorFerri Vidal, Antoni-
dc.contributor.authorGuillén, Montserrat-
dc.description.abstractThis 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.extent17 p.-
dc.publisherCambridge University Press-
dc.relation.isformatofReproducció del document publicat a:
dc.relation.ispartofASTIN Bulletin , 2013, vol. 43, num. 01, p. 21-37-
dc.rights(c) International Actuarial Association, 2013-
dc.subject.classificationRisc (Economia)-
dc.subject.classificationAvaluació del risc-
dc.subject.classificationMètode de Montecarlo-
dc.subject.classificationCorrelació (Estadística)-
dc.subject.otherRisk assessment-
dc.subject.otherMonte Carlo method-
dc.subject.otherCorrelation (Statistics)-
dc.titleA correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation-
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)
Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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