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

Stéphane Loisel, Pierre Arnal and Romain Durand ()
Additional contact information
Pierre Arnal: Actuaris - Actuaris
Romain Durand: Actuaris - Actuaris

Working Papers from HAL

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.

Date: 2010-07-02
Note: View the original document on HAL open archive server: https://hal.science/hal-00502848v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://hal.science/hal-00502848v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00502848

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().