How to use the standard model with own data?

Antoni Ferri (), Lluís Bermúdez () and Montserrat Guillen
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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

No XREAP2012-03, Working Papers from Xarxa de Referència en Economia Aplicada (XREAP)

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.

Keywords: Solvency II; Solvency Capital Requirement; Standard Model; correlation matrix (search for similar items in EconPapers)
Pages: 30 pages
Date: 2012-02, Revised 2012-02
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http://www.xreap.cat/RePEc/xrp/pdf/XREAP2012-03.pdf First version, 2012 (application/pdf)
http://www.xreap.cat/RePEc/xrp/pdf/XREAP2012-03.pdf Revised version, 2012 (application/pdf)

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