Bermúdez, LluísFerri Vidal, AntoniGuillén, Montserrat2017-03-092017-03-092013-010515-0361https://hdl.handle.net/2445/108212This 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.17 p.application/pdfeng(c) International Actuarial Association, 2013Risc (Economia)Avaluació del riscMètode de MontecarloCorrelació (Estadística)RiskRisk assessmentMonte Carlo methodCorrelation (Statistics)info:eu-repo/semantics/article6219662017-03-09info:eu-repo/semantics/openAccess