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The Solvency II square-root formula fooor systematic biometric risk

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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100  ‎$0‎MAPA20100056639‎$a‎Christiansen, M.C.
24514‎$a‎The Solvency II square-root formula fooor systematic biometric risk‎$c‎M.C. Christiansen, M.M. Denuit, D. Lazar
520  ‎$a‎In 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.
650 1‎$0‎MAPA20080564254‎$a‎Solvencia II
650 1‎$0‎MAPA20080570590‎$a‎Seguro de vida
650 1‎$0‎MAPA20100016923‎$a‎Riesgo sistémico
650 1‎$0‎MAPA20080614300‎$a‎Indicadores de solvencia
650 1‎$0‎MAPA20080576783‎$a‎Modelo de Markov
650 1‎$0‎MAPA20100059982‎$a‎Análisis biométrico
651 1‎$0‎MAPA20080637996‎$a‎Alemania
700  ‎$0‎MAPA20110021498‎$a‎Denuit, M.M.
7001 ‎$0‎MAPA20120013605‎$a‎Lazar, Dorina
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎01/03/2012 Tomo 50 Número 2 - 2012 , p. 257-265