Un Modello per la Determinazione del Risk Based Capital in presenza di Correlazione tra i Rami

Translated title of the contribution: [Autom. eng. transl.] A Model for the Determination of Risk Based Capital in the presence of Correlation between the Branches

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

[Autom. eng. transl.] In recent years, the greater complexity of the insurance and financial markets, the lower margins of technical profitability, some international insolvency phenomena have inspired the development of the Solvency II project, characterized by the need to critically review the current Solvency requirements. In particular, the need to determine, through standard formulas and internal models, a capital requirement that is more closely related to the actual riskiness of the insurance business and to the characteristics of the companies is increasingly essential. The purpose of this article is to determine the capital requirement that an insurance company operating in the Non-Life classes should set aside, given a confidence level and a pre-established time horizon, relative to the premium risk. This amount will be determined by applying a classical model of risk theory appropriately extended in order to consider the characteristics of the assumed insurance reality. The model used is based on the simulation procedure, over a multi-year horizon, of the aggregate cost of the claims generated by a portfolio, evolving over the years based on known growth rates, consisting of two related insurance classes. In particular, we want to analyze the effect on the capital requirement deriving from the presence of different dependency structures on the number and cost of the claims. These dependencies will be described using different copula functions applied separately to the number and cost distribution of claims. Finally, the results of the internal model will be compared with the standard Risk Based Capital evaluation formula proposed by the International Actuarial Association. The approach proposed by the IAA, while adopting some important simplifications, uses the particularly original concept of the covariance generator, suggested by Glenn Meyers, for the evaluation of the correlation. A comparison between the internal model and the IAA standard formula will therefore allow both to draw important indications regarding the ability to adapt the simulation models and to compare different dependence modeling methods between branches.
Translated title of the contribution[Autom. eng. transl.] A Model for the Determination of Risk Based Capital in the presence of Correlation between the Branches
Original languageItalian
Title of host publicationAtti del XIV Convegno di Teoria del Rischio
Pages45-66
Number of pages22
Publication statusPublished - 2008
EventXIV Convegno di Teoria del Rischio - Campobasso
Duration: 27 Jun 200727 Jul 2007

Conference

ConferenceXIV Convegno di Teoria del Rischio
CityCampobasso
Period27/6/0727/7/07

Keywords

  • Costo aggregato dei sinistri
  • Dipendenze
  • Requisito di Capitale

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