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A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

Author

Listed:
  • Lluís Bermúdez

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

  • Antoni Ferri

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

  • Montserrat Guillén

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

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.

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  • Lluís Bermúdez & Antoni Ferri & Montserrat Guillén, 2011. "A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation," Working Papers XREAP2011-12, Xarxa de Referència en Economia Aplicada (XREAP), revised Sep 2011.
    • Handle: RePEc:xrp:wpaper:xreap2011-12
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    1. Antoni Ferri & Lluís Bermúdez & Montserrat Guillén, 2012. "How to use the standard model with own data?," Working Papers XREAP2012-03, Xarxa de Referència en Economia Aplicada (XREAP), revised Feb 2012.

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    Solvency II; Solvency Capital Requirement; Standard Model; Internal Model; Monte Carlo simulation; Copulas.;
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