dc.contributor |
Xarxa de Referència en Economia Aplicada (XREAP) |
dc.contributor.author |
Bermúdez, Lluis |
dc.contributor.author |
Ferri, Antoni |
dc.contributor.author |
Guillén, Montserrat |
dc.date.accessioned |
2011-09-19T09:14:31Z |
dc.date.accessioned |
2021-01-20T16:45:15Z |
dc.date.available |
2011-09-19T09:14:31Z |
dc.date.available |
2021-01-20T16:45:15Z |
dc.date.created |
2011-09 |
dc.date.issued |
2011-09 |
dc.identifier.uri |
http://hdl.handle.net/2072/169680 |
dc.format.extent |
30 p. |
dc.format.extent |
287202 bytes |
dc.format.mimetype |
application/pdf |
dc.language.iso |
eng |
dc.publisher |
Xarxa de Referència en Economia Aplicada (XREAP) |
dc.relation.ispartofseries |
XREAP ; 2011-12 |
dc.rights |
Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i la xarxa i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
dc.subject |
Risk (Insurance) |
dc.subject |
Insurance |
dc.subject |
Monte Carlo method |
dc.subject.other |
Assegurances |
dc.subject.other |
Risc (Assegurances) |
dc.subject.other |
Mètode de Montecarlo |
dc.title |
A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
33 - Economia |
dc.subject.udc |
336 - Finances. Banca. Moneda. Borsa |
dc.description.abstract |
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. |