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Modelización de la dependencia del número de siniestros. Aplicación a Solvencia II

Author

Listed:
  • Anna Castañer

    () (Dept. Matemàtica Econòmica, Financera i Actuarial, Universitat de Barcelona)

  • Mª Mercè Claramunt

    () (Dept. Matemàtica Econòmica, Financera i Actuarial, Universitat de Barcelona)

  • Alba Tadeo

    () (Allianz, compañía de seguros y reaseguros, S.A., Spain)

  • Javier Varea

    () (Dept. Matemàtica Econòmica, Financera i Actuarial, Universitat de Barcelona)

Abstract

En este trabajo se estudia el efecto de la dependencia entre dos subcarteras en el requerimiento de capital obligatorio (SCR) por primas y reservas en una cartera de seguros no vida. Para ello, la dependencia se establece entre el número de siniestros de cada subcartera, que se modeliza mediante un choque común. A continuación, se plantean diversas opciones para el cálculo de la distribución del coste total en la cartera agregada, obteniéndose fórmulas explícitas en algunos casos. Finalmente, se incluye una aplicación práctica a partir de datos de una cartera real de seguros de automóviles.

Suggested Citation

  • Anna Castañer & Mª Mercè Claramunt & Alba Tadeo & Javier Varea, 2016. "Modelización de la dependencia del número de siniestros. Aplicación a Solvencia II," Working Papers XREAP2016-01, Xarxa de Referència en Economia Aplicada (XREAP), revised Sep 2016.
  • Handle: RePEc:xrp:wpaper:xreap2016-01
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    File URL: http://www.xreap.cat/RePEc/xrp/pdf/XREAP2016-01.pdf
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    Keywords

    Dependencia; Choque común; Solvencia II;

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