How to use the standard model with own data?

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RECERCAT Home > Universitat de Barcelona > Xarxa de Referència en Economia Aplicada (XREAP) > Documents de treball de la Xarxa de Referència en Economia Aplicada (XREAP) > View document

Use this identifier to quote or link this document: http://hdl.handle.net/2072/179579

dc.contributor	Xarxa de Referència en Economia Aplicada (XREAP)
dc.contributor.author	Bermúdez, Lluís
dc.contributor.author	Guillén, Montserrat
dc.contributor.author	Ferri Vidal, Antoni
dc.date.accessioned	2012-02-01T13:20:03Z
dc.date.accessioned	2021-01-20T16:46:23Z
dc.date.available	2012-02-01T13:20:03Z
dc.date.available	2021-01-20T16:46:23Z
dc.date.created	2012-02
dc.date.issued	2012-02
dc.identifier.uri	http://hdl.handle.net/2072/179579
dc.format.extent	30 p.
dc.language.iso	eng
dc.publisher	Xarxa de Referència en Economia Aplicada (XREAP)
dc.relation.ispartofseries	XREAP2012-03;
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by/3.0/es/
dc.source	RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject	Risk (Insurance)
dc.subject	Econometric models
dc.subject	Risk management
dc.subject.other	Risc (Assegurances)
dc.subject.other	Models economètrics
dc.subject.other	Gestió del risc
dc.title	How to use the standard model with own data?
dc.type	info:eu-repo/semantics/workingPaper
dc.subject.udc	33 - Economia
dc.subject.udc	336 - Finances. Banca. Moneda. Borsa
dc.embargo.terms	cap
dc.description.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.

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