Solvency II Directive introduced a new framework in order to develop new risk management practices to manage risk and to define a minimum capital requirement. To this aim, Commission Delegated Regulation provided the final version of the Standard Formula. Capital requirement is obtained via a modular structure where each source of risk must be first measured and then aggregated under a linear correlation assumption. As results of main Quantitative Impact Studies have shown, Premium and Reserve risks represent a key driver for Non-Life insurers. In this regard, we focus here on the valuation of the capital requirement for this specific sub-module. Some inconsistencies of the approach provided by Solvency II will be highlighted. We show indeed that some assumptions of the Standard Formula may lead to an underestimation of the capital requirement for small insurers.

Clemente, G. P., Savelli, N., Actuarial Improvements of Standard Formula for Non-Life Underwriting Risk, in Marano, P. S. M. (. (ed.), Insurance Regulation in the European UnionSolvency II and Beyond, Springer International Publishing, Basingstoke 2017: 223- 244 [http://hdl.handle.net/10807/108885]

Actuarial Improvements of Standard Formula for Non-Life Underwriting Risk

Clemente, G. P.
;
Savelli, Nino
2017

Abstract

Solvency II Directive introduced a new framework in order to develop new risk management practices to manage risk and to define a minimum capital requirement. To this aim, Commission Delegated Regulation provided the final version of the Standard Formula. Capital requirement is obtained via a modular structure where each source of risk must be first measured and then aggregated under a linear correlation assumption. As results of main Quantitative Impact Studies have shown, Premium and Reserve risks represent a key driver for Non-Life insurers. In this regard, we focus here on the valuation of the capital requirement for this specific sub-module. Some inconsistencies of the approach provided by Solvency II will be highlighted. We show indeed that some assumptions of the Standard Formula may lead to an underestimation of the capital requirement for small insurers.
Inglese
Insurance Regulation in the European Union Solvency II and Beyond
978-3-319-61215-7
Springer International Publishing
Clemente, G. P., Savelli, N., Actuarial Improvements of Standard Formula for Non-Life Underwriting Risk, in Marano, P. S. M. (. (ed.), Insurance Regulation in the European UnionSolvency II and Beyond, Springer International Publishing, Basingstoke 2017: 223- 244 [http://hdl.handle.net/10807/108885]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/108885
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