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

Notas: 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/03/2012 Tomo 50 Número 2 - 2012 , p. 257-265Materia / lugar / evento: Solvencia II Seguro de vida Riesgo sistémico Indicadores de solvencia Modelo de Markov Análisis biométrico Alemania Otros autores: Denuit, M.M.
Lazar, Dorina
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