The Solvency II square-root formula fooor systematic biometric risk

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      <subfield code="a">Christiansen, M.C.</subfield>
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      <subfield code="a">The Solvency II square-root formula fooor systematic biometric risk</subfield>
      <subfield code="c">M.C. Christiansen, M.M. Denuit, D. Lazar</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
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      <subfield code="g">01/03/2012 Tomo 50 Número 2  - 2012 , p. 257-265</subfield>
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