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The Solvency II square-root formula fooor systematic biometric risk

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<rdf:Description>
<dc:creator>Christiansen, M.C.</dc:creator>
<dc:creator>Denuit, M.M.</dc:creator>
<dc:creator>Lazar, Dorina</dc:creator>
<dc:date>2012-03-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/136997.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Solvencia II</dc:subject>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:subject xml:lang="es">Riesgo sistémico</dc:subject>
<dc:subject xml:lang="es">Indicadores de solvencia</dc:subject>
<dc:subject xml:lang="es">Modelo de Markov</dc:subject>
<dc:subject xml:lang="es">Análisis biométrico</dc:subject>
<dc:subject xml:lang="es">Alemania</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">The Solvency II square-root formula fooor systematic biometric risk</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/03/2012 Tomo 50 Número 2  - 2012 , p. 257-265</dc:relation>
<dc:coverage xml:lang="es">Alemania</dc:coverage>
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