Amb motiu del tancament d'estiu, la validació de documents es reprendrà a partir del 28 d'agost de 2026. Disculpeu les molèsties.
Con motivo del cierre de verano, la validación de documentos se reanudará a partir del 28 de agosto de 2026. Disculpad las molestias
Due to the summer closure, document validation will resume starting August 28, 2026. We apologize for any inconvenience.

Fitxers

IR11-013_Bermudez-Ferri.pdf (583.58 KB)

Tipus de document

Document de treball

Data de publicació

2011

Llicència de publicació

cc-by-nc-nd, (c) Bermúdez et al., 2011
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/58519

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation [WP]

Títol de la revista

Autors

Director/Tutor

ISSN de la revista

Títol del volum

Recurs relacionat

Resum

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.

Matèries

Risc (Economia), Avaluació del risc, Correlació (Estadística)

Matèries (anglès)

Risk, Risk assessment, Correlation (Statistics)

Citació

Col·leccions

Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

Citació

BERMÚDEZ, Lluís, FERRI VIDAL, Antoni and GUILLÉN, Montserrat. A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation [WP]. IREA – Working Papers. 2011. Vol.  IR11/13. ISSN 2014-1254. [consulted: 12 of August of 2026]. Available at: https://hdl.handle.net/2445/58519

Exportar metadades

JSON - METS

Compartir registre