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The Solvency II square-root formula fooor systematic biometric risk

 
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<title>Solvency II square-root formula fooor systematic biometric risk</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120013605">
<namePart>Lazar, Dorina</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">M.C. Christiansen, M.M. Denuit, D. Lazar</note>
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<topic>Solvencia II</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080570590">
<topic>Seguro de vida</topic>
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<topic>Riesgo sistémico</topic>
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<topic>Indicadores de solvencia</topic>
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<topic>Modelo de Markov</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20100059982">
<topic>Análisis biométrico</topic>
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<geographic>Alemania</geographic>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>01/03/2012 Tomo 50 Número 2  - 2012 , p. 257-265</text>
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