The Solvency II square-root formula fooor systematic biometric risk
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20120013193 | ||
| 003 | MAP | ||
| 005 | 20120508132641.0 | ||
| 008 | 120402e20120301esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20100056639$aChristiansen, M.C. | ||
| 245 | 1 | 4 | $aThe Solvency II square-root formula fooor systematic biometric risk$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. | ||
| 700 | 1 | $0MAPA20120013605$aLazar, Dorina | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g01/03/2012 Tomo 50 Número 2 - 2012 , p. 257-265 |