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

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

El marco europeo de la política de enfermedades raras

Comunicación presentada en el Curso "Marco actual y el impacto social de las enfermedades raras en España", dentro de los Cursos de verano UBU 201

Rational foundations of democratic participation in the internet

Las argumentaciones que tienden a una radicalización de la práctica democrática pueden resultar colaborativas con el contenido y alcance de los cambios que las tecnologías de la información y la comunicación –y, en particular, el fenómeno de internet– conllevan en los campos del derecho, la política y la administración. Concretamente, se analiza como aspectos principales de la obra de Bruce Ackerman relacionados con la filosofía normativa (la definición, exposición de las características y crítica del diálogo neutro y la neutralidad) podrían mejorar el Principio de Discurso de Habermas aplicado al derechoThe arguments that tend towards radicalization of democratic practice can collaborate with changes in content and scope in the field of law, politics and public administration now allowed by information and communication technologies such as the internet. This paper specifically treats some aspects of Bruce Ackerman’s work in normative philosophy (which defines the characteristics of neutral dialogue and neutrality, then critiques them), that can improve the Habermas’ Principle of Discourse as applied to the field of la

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

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