Centro de Documentacion de Fundación MAPFRE - The Solvency II square-root formula fooor systematic biometric risk

MAP20120013193

The Solvency II square-root formula fooor systematic biometric risk / M.C. Christiansen, M.M. Denuit, D. Lazar

Sumario: In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we can obtain expressions similar to the square-root formula in Solvency II by means of limited expansions around the best estimate. Numerical illustrations are given, based on German population data. Even if the square-root formula can be supported by theoretical considerations, it is shown that the QIS correlation matrix is highly questionable

En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/03/2012 Tomo 50 Número 2 - 2012 , p. 257-265

1. Solvencia II . 2. Seguro de vida . 3. Riesgo sistémico . 4. Indicadores de solvencia . 5. Modelo de Markov . 6. Análisis biométrico . 7. Alemania . I. Denuit, M.M. . II. Lazar, Dorina . III. Title.