Media Capital Requirements modeling for market and non-life Premium Risk in a Dynamic Insurance Portfolio

Capital Requirements modeling for market and non-life Premium Risk in a Dynamic Insurance Portfolio

uploaded September 13, 2022 Views: 28 Comments: 0 Marked favorite: 0
Speakers: 
Description:

Solvency II requires for some years that EU insurance companies calculate minimum capital requirements to face the risk of insolvency, either in accordance with the Standard Formula or using a full or partial Internal Model. An Internal Model must be based on a market consistent valuation of assets and liabilities at a one-year time span, where a real-world probabilistic structure is used for the first year of projection. In this paper, we describe the major risks of a non-life insurance company, i.e. the non-life underwriting risk and market risk, focusing on the non-life premium risk, equity risk and interest rate risk. This analysis is made using some wellknown stochastic models in both the financial-actuarial literature and practical insurance business, i.e. the collective risk model for the non-life premium risk, the geometric Brownian motion for the equity risk and the G2++ model for the interest rate risk, where parameters are calibrated on current and real market data.

 

Tags:
Categories: ASTIN / NON-LIFE
Content groups:  content2022

0 Comments

There are no comments yet. Add a comment.