Bermúdez, LluísFerri Vidal, AntoniGuillén, Montserrat2014-10-132014-10-1320112014-1254https://hdl.handle.net/2445/58519This 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.28 p.application/pdfengcc-by-nc-nd, (c) Bermúdez et al., 2011http://creativecommons.org/licenses/by-nc-nd/3.0/Risc (Economia)Avaluació del riscCorrelació (Estadística)RiskRisk assessmentCorrelation (Statistics)info:eu-repo/semantics/workingPaper2014-10-13info:eu-repo/semantics/openAccess