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Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA

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Author Info

  • Stéphane Loisel

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Pierre Arnal

    ()
    (Actuaris - Actuaris)

  • Romain Durand

    ()
    (Actuaris - Actuaris)

Abstract

We explain why correlation crises may occur in insurance and finance. These phenomena are not taken into account in Solvency II standard formula. We show the importance of taking them into account in internal models or partial internal models. Given the variety of scenarios that could lead to correlation crises and their different potential impacts, we support the idea that ORSA (Own Risk and Solvency Assessment) reports of insurance companies should include dynamic and causal correlation crises analyzes.

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Paper provided by HAL in its series Working Papers with number hal-00502848.

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Date of creation: 02 Jul 2010
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Handle: RePEc:hal:wpaper:hal-00502848

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00502848/en/
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  1. Didier Rullière & Diana Dorobantu & Areski Cousin, 2013. "An extension of Davis and Lo's contagion model," Post-Print hal-00374367, HAL.
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