LIVELLI DI ASSORBIMENTO DEL CAPITALE NELLE ASSICURAZIONI DANNI: IL NUOVO SCENARIO PROSPETTATO DA SOLVENCY II

In the context of the development of the new prudential system for the supervision of insurance undertakings, the so-called Solvency II project, a common approach, to the calculation of minimum capital requirements, is to apply predetermined factors to measures exposure to risk, that are taken from the insurer s annual accounts. Pillar Two recognizes the importance of a company specific approach based on Internal Risk Models fitted closely with the supervisor s view of key performance criteria. A risk theoretical simulation model is then applied for a Property&Casualty multi-line insurer with the aim to predict the risk capital regarding only premium risk, related to future claims arising during and after the time horizon for the solvency assessment. Different elliptical and Archimedean copula functions are applied separately in order to analyse the risk-profile of a non-life insurer with correlated lines of business. At this regard Internal Model results have been compared with the common shock correlation proposed by International Actuarial Association.