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How to use the standard model with own data?

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Author Info

  • Antoni Ferri

    ()
    (Departament d'Econometria, Estadística i Economia Espanyola. RISC-IREA. University of Barcelona. Spain)

  • Lluís Bermúdez

    ()
    (Departament de Matemàtica Financera i Actuarial. RISC-IREA. University of Barcelona. Spain)

  • Montserrat Guillén

    ()
    (Departament d'Econometria, Estadística i Economia Espanyola. RISC-IREA. University of Barcelona. Spain)

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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File URL: http://www.pcb.ub.edu/xreap/aplicacio/fitxers/XREAP2012-03.pdf
File Function: First version, 2012
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File URL: http://www.pcb.ub.edu/xreap/aplicacio/fitxers/XREAP2012-03.pdf
File Function: Revised version, 2012
Download Restriction: no

Bibliographic Info

Paper provided by Xarxa de Referència en Economia Aplicada (XREAP) in its series Working Papers with number XREAP2012-03.

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Length: 30 pages
Date of creation: Feb 2012
Date of revision: Feb 2012
Handle: RePEc:xrp:wpaper:xreap2012-03

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Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques i Empresarials, Universitat de Barcelona, c/ Tinent Coronel Valenzuela, 1-11, 08034 Barcelona
Phone: +34+934039653
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Web page: http://www.pcb.ub.edu/xreap
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Related research

Keywords: Solvency II; Solvency Capital Requirement; Standard Model; correlation matrix;

References

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  1. Lluís Bermúdez & Antoni Ferri & Montse Guillén, 2011. "A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation," IREA Working Papers 201113, University of Barcelona, Research Institute of Applied Economics, revised Sep 2011.
  2. Marta Arespa, 2011. "Macroeconomics of extensive margins: a simple model," Working Papers XREAP2011-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Nov 2011.
  3. Marta Arespa, 2011. "A New Open Economy Macroeconomic Model with Endogenous Portfolio Diversifi cation and Firms Entry," Working Papers XREAP2011-15, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2011.
  4. Daniel Albalate & Germà Bel, 2008. "Tourism and urban transport: Holding demand pressure under supply constraints," Working Papers XREAP2008-14, Xarxa de Referència en Economia Aplicada (XREAP), revised Dec 2008.
  5. Xosé-Luís Varela-Irimia, 2011. "Age effects, unobserved characteristics and hedonic price indexes: The Spanish car market in the 1990?s," Working Papers XREAP2011-11, Xarxa de Referència en Economia Aplicada (XREAP), revised Aug 2011.
  6. Xavier Fageda & Jordi Perdiguero, 2011. "An empirical analysis of a merger between a network and low-cost airlines," Working Papers XREAP2011-01, Xarxa de Referència en Economia Aplicada (XREAP), revised May 2011.
  7. Juan Luís Jiménez & Jordi Perdiguero, 2009. "(No)competition in the Spanish retailing gasoline market: a variance filter approach," Working Papers XREAP2009-05, Xarxa de Referència en Economia Aplicada (XREAP), revised May 2009.
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