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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]
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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.
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BERMÚDEZ, Lluís, FERRI VIDAL, Antoni, GUILLÉN, Montserrat. A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation [WP]. _IREA – Working Papers_. 2011. Vol. IR11/13. [consulta: 23 de gener de 2026]. ISSN: 2014-1254. [Disponible a: https://hdl.handle.net/2445/58519]