Centro de Documentacion de Fundación MAPFRE - Correlations between insurance lines of business : an illusion or a real phenomenon? Some methodological considerations

MAP20160024128

Correlations between insurance lines of business : an illusion or a real phenomenon? Some methodological considerations / Benjamin Avanzi, Greg Taylor, Bernard Wong

Sumario: This paper is concerned with dependency between business segments in the nonlife insurance industry. When considering the business of an insurance company at the aggregate level, dependence structures can have a major impact in several areas of Enterprise Risk Management, such as in claims reserving and capital modelling. The accurate estimation of the diversification benefits related to the dependence structures between lines of business (LoBs) is crucial for (i) capital efficiency, as one should avoid holding unnecessarily high levels of capital, and (ii) solvency of the insurance company, as an underestimation, on the other hand, may lead to insufficient capitalisation and safety. There seems to be a great deal of preconception as to how dependent insurance claims should be

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 225-263

I. Taylor, Greg . II. Wong, Bernard . III. Título.