RECERCAT Home
>
Universitat Autònoma de Barcelona
>
Estudis: documents de recerca i informes
>
View document
| Title: | How to use the standard model with own data? |
|---|---|
| Author: | Ferri Vidal, Antoni; Bermúdez, Lluís; Guillén, Montserrat; Xarxa de Referència en Economia Aplicada (XREAP) |
| Abstract: | In this work discuss the use of the standard model for the calculation of the solvency capital requirement (SCR) when the company aims to use the specific parameters of the model on the basis of the experience of its portfolio. In particular, this analysis focuses on the formula presented in the latest quantitative impact study (2010 CEIOPS) for non-life underwriting premium and reserve risk. One of the keys of the standard model for premium and reserves risk is the correlation matrix between lines of business. In this work we present how the correlation matrix between lines of business could be estimated from a quantitative perspective, as well as the possibility of using a credibility model for the estimation of the matrix of correlation between lines of business that merge qualitative and quantitative perspective. |
| Subject(s): | -Solvency II -Solvency Capital Requirement -Standard Model -Correlation matrix -Risk (Insurance) -Econometric models -Risk management -Risc (Assegurances) -Models economètrics -Gestió del risc |
| Rights: | open access
Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, la comunicació pública de l'obra i la creació d'obres derivades, fins i tot amb finalitats comercials, sempre i quan es reconegui l'autoria de l'obra original. https://creativecommons.org/licenses/by/3.0/ |
| Document type: | Working paper |
| Published by: | Xarxa de Referència en Economia Aplicada (XREAP) |
| Share: |
|
| Uri: | https://ddd.uab.cat/record/98113 |
Related documents
Other documents of the same author
Bermúdez, Lluís; Ferri Vidal, Antoni; Guillén, Montserrat; Xarxa de Referència en Economia Aplicada (XREAP)
Ferri Vidal, Antoni; Guillén, Montserrat; Bermúdez, Lluís; Xarxa de Referència en Economia Aplicada (XREAP)
Bermúdez, Lluís; Ferri Vidal, Antoni; Guillén, Montserrat
Bermúdez, Lluís; Guillén, Montserrat; Ferri Vidal, Antoni
Ferri Vidal, Antoni; Guillén, Montserrat; Bermúdez, Lluís