Medición del riesgo de suscripción mediante modelos internos en Solvencia II

  1. Aitor Barañano Abasolo 1
  2. J. Iñaki De La Peña Esteban 1
  3. Asier Garayeta Bajo 1
  1. 1 Universidad del País Vasco, España
Innovar: revista de ciencias administrativas y sociales

ISSN: 0121-5051

Year of publication: 2016

Volume: 26

Issue: 62

Pages: 113-128

Type: Article

DOI: 10.15446/INNOVAR.V26N62.59392 DIALNET GOOGLE SCHOLAR lock_openOpen access editor

More publications in: Innovar: revista de ciencias administrativas y sociales


This study provides the development of a procedure for defining a model to calculate Underwriting Risk in Solvency II. For doing this, the data from a multi-risk portfolio, adjusted to the best statistical distribution, has been applied a Monte Carlo simulation for testing the proposed model. Afterwards, solvency capital of the deterministic approach for the previous legislation is compared against the result of applying the standard formula QIS4. Results show that the necessary capital in solvency to support underwriting risk depends on the portfolio they are based on, and, therefore, correctly measures risk.