Medición del riesgo de suscripción mediante modelos internos en Solvencia II
- 1 Universidad del País Vasco, España
ISSN: 0121-5051
Datum der Publikation: 2016
Ausgabe: 26
Nummer: 62
Seiten: 113-128
Art: Artikel
Andere Publikationen in: Innovar: revista de ciencias administrativas y sociales
Zusammenfassung
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.