The passing of Directive 2009/138/CE (Solvency II) has opened a new era in the European
insurance market. According to this new regulatory environment, the volume of own resources
will be determined depending on the risks that any insurer would be holding. So, nowadays, the
model to estimate the amount of economic capital is one of the most important elements. The
Directive establishes that the European entities can use a general model to perform these tasks.
However, this situation is far from being optimal because the calibration of the general model
has been made using figures that reflects and average behaviour. This paper shows that not all
the companies operating in a specific market has the same risk profile. For this reason, it is
unsatisfactory to use a general model for all of them. We use the PAM clustering method and
afterwards some Bayesian tools to check the results previously obtained. Analysed data (public
information belonging to Spanish insurance companies about balance sheets and income
statements from 1998 to 2007) comes from the DGSFP (Spanish insurance regulator)
