De solvencia I al modelo interno bajo solvencia IIuna aplicación al riesgo de suscripción

  1. Aitor Barañano Abásolo 1
  2. J. Iñaki De La Peña Esteban 1
  3. Asier Garayeta Bajo 1
  1. 1 Universidad del País Vasco/Euskal Herriko Unibertsitatea

    Universidad del País Vasco/Euskal Herriko Unibertsitatea

    Lejona, España


Anales de ASEPUMA

ISSN: 2171-892X

Year of publication: 2015

Issue: 23

Type: Article

More publications in: Anales de ASEPUMA


Into the European Union insurance industry, Solvency I does not take into account the specific risk of every company to calculate the solvency capital. Nevertheless, Solvency II requires a valuation of the financial situation with the aim to measure the company´s specific risks. So, the insurance entities must manage the capital to assume not only the expected loss, also unexpected loss as well in the company (Lozano, 2005). This work focuses on developing a procedure for an internal model for suscription risk under Solvency II. We have used data for the series of a multirisk insurance portfolio. This work fits the best statistical distribution and then applies Montecarlo simulation for developing a standard model. Subsequently, we compared capital requirements resulting from applying the flat law against the standard formula of QIS4. The results showed that the funds needed to take the suscription risk are dependent on the portfolio used and so, the risk is correctly evaluated.

Bibliographic References

  • ABAD, P.; BENITO, S.; LÓPEZ, C. (2014). “A comprehensive review of Value at Risk methodologies”. The Spanish Review of Financial Economics 12, 15-32.
  • ALBARRÁN, I.; ALONSO, P. (2010). Métodos estocásticos de estimación de las provisiones técnicas en el marco de solvencia II. Madrid: Fundación Mapfre. ALONSO, P. (2007). “Solvencia II: Ejes del proyecto y diferencias con Basilea II.” Anales del Instituto de Actuarios Españoles, 37–56.
  • ALTUNTAS, M.; BERRY-STÖLZLE, T. R. & HOYT, R. E. (2011). ”Implementation of Enterprise Risk Management: Evidence from the German Property-Liability Insurance Industry”. The Geneva Papers on Risk and Insurance Issues and Practice, 36(3), 414–439. DOI:10.1057/gpp.2011.11
  • ARTZNER, P.; DELBAEN, J.; EBER, M. Y HEATH, D. (1999). Coherent measures of Risk. Mathematical Finance 9, 203—228.
  • BARONE-ADESI, G.; GIANNOPOULOS, K; VOSPER, L. (1999). „VaR without correlations for nonlinear portfolios“. Journal of Futures Markets, 19, 583-602
  • BERGLUND, R., KOSKINEN, L., RONKAINEN, V. (2006). Aspects on calculating the Solvency capital requirement with the use of internal models. 28th International Congress of Actuaries, Paris.
  • BUTT, M. (2007). “Insurance, Finance, Solvency II and Financial Market Interaction”. The Geneva Papers on Risk and Insurance Issues and Practice, 32 (1),42–45.
  • CAMPAGNE, C., VAN DER LOO, YNTEMA, A.J. (1948), “Contribution to the method of calculating the stabilization reserve in life assurance business”, Gedenkboek Verzekeringskamer 1923-1948, Staatsdrukkerij-en uitgeverijbedrijf, Den Haag. 338-378. (in both, Dutch and English).
  • CEIOPS -Committee of European Insurance and Occupational Pension Supervisors- (2005). Answers to the European Commission on the Second Wave of Calls for Advice in the Framework of the Solvency II Project, Frankfurt, October 2005. 116; 117–118; 127–128
  • CUOCO, D., & LIU, H. (2006). “An analysis of VaR-based capital requirements”. Journal of Financial Intermediation, 15 (3), 362–394.
  • CHATFIELD, C. (2001). Time-Series Forecasting. London: Chapman & Hall DEEPAK, J. & RAMANATHAN, T. (2009). “Parametric and Nonparametric Estimation of Value at Risk”. The Journal of Risk Model Validation, vol.3, no.1, pp.51-71.
  • DEVINEU, L. & LOISEL, S. (2009). “Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula? “ Bulletin Français d'Actuariat, 9-18:107-145
  • DIMAKOS, X. K., & FRIGESSI DI RATTALMA, A. (2010). “Bayesian PremiumRating with Latent Structure”. Scandinavian Actuarial Journal, (February 2013),37–41.
  • ELING, M.; SCHMEISER, H.; SCHMIT, J.T. (2007). “The Solvency II Process: Overview and Critical Analysis”. Risk Management & Insurance Review Journal,70-75.
  • ENGLE, R.; MANGANELLI, S. (2004). “CAViaR: Conditional autoregressive value at risk by regression quantiles”. Journal of Business & Economics Statistics, 22. 367-381.
  • GANDHI, D. K., SAUNDERS, A., & G SUGARS, E. (1981). “Stochastic Dominance : An Application to the Insurance Portfolio Decision.” The Geneva Papers on Risk and Insurance Issues and Practice, 21(October), 51–63.
  • GARAYETA, A.; ITURRICASTILLO, I. Y DE LA PEÑA, J.I. (2012). “Evolución del capital de solvencia requerido en las aseguradoras españolas hasta solvencia II.” Anales del Instituto de Actuarios Españoles, 3ª época, 18. 111-150
  • GILKS, W. R.; RICHARDSON, S. & SPIEGELHALTE, D. J. (1996). Introducing Markov chain Monte Carlo. In Gilks, W. R.; Richardson, S. & Spiegelhalter. D. J. Markov chain Monte Carlo in practice. 1–19. London: Chapman and Hall.
  • GSCHLÖßL, S., & CZADO, C. (2007). “Spatial modelling of claim frequency and claim size in non-life insurance”. Scandinavian Actuarial Journal, (3), 202–225.
  • HARDY, M. R. (2010). “Bayesian Risk Management for Equity-Linked Insurance Bayesian Risk Management for Equity-Linked Insurance”. Scandinavian Actuarial Journal, 37–41.
  • HELFENSTEIN, R., SCOTTI, V. & BRAHIN, P. (2004). “The Impact of IFRS on the Insurance Industry”. Swiss Re Sigma 7, 1–34.
  • HERNÁNDEZ, R.; MARTÍNEZ, M. I. (2012). “Capital assessment of operational risk for the solvency of health insurance companies”. Journal of Operational Risk, 7. 43-65
  • HOLZHEU, T. (2000). “Solvency of Non-Life Insurers: Balancing Security and Profitability Expectations”. Swiss Re Sigma 1: 1–38
  • HUANG, H.-C., WANG, C.-W., & MIAO, Y.C. (2011). „Securitisation of Crossover Risk in Reverse Mortgages”. The Geneva Papers on Risk and Insurance Issues and Practice, 36 (4) 622–647. DOI:10.1057/gpp.2011.23
  • JORION, P. (2001). Value at Risk: The New Benchmark for Managing financial risk. New York: McGraw-Hill.
  • KALIVA, K. KOSKINEN L. & RONKAINEN, V. (2007). Internal models and arbitrage – free calibration. AFIR colloquium.
  • KARP, T. (2007). “International Solvency Requirements – Towards more Riskbased Regimes”. The Geneva Papers on Risk and Insurance Issues and Practice, 32 (3). 364-381. DOI: 10.1057/palgrave.gpp.2510139
  • KAUFMANN, R.; GADMER, A. & KLETT, R. (2001). “Introduction to DynamicFinancial Analysis”. ASTIN Bulletin 31(1): 213-249.
  • LECHNER, A. & OVAERT, T. (2010). “Techniques to Account for Leptokurtosis and Assymetric Behaviour in Returns Distributions”. Journal of Risk Finance, vol.11, no.5, pp.464-480.
  • LIEBWEIN, P. (2006). “Risk Models for Capital Adequacy: Applications in the Context of Solvency II and Beyond”. The Geneva Papers on Risk and Insurance Issues and Practice, 31(3), 528–550. DOI:10.1057/palgrave.gpp.
  • LOZANO, R. (2005). “Las implicaciones de Solvencia II en el sector asegurador español”. Estabilidad financiera, 9. 59-70.
  • MORGAN, J.P. (1996). Riskmetrics Technical document, 4th edition. New York: J.P. Morgan.
  • PFEIFER, D. & STRASSBURGER, D. (2008). “Solvency II: stability problems with the SCR aggregation formula”. Scandinavian Actuarial Journal 2008-1. 61 -77
  • PRITSKER, M. (1997). “Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time”. Journal of Financial Services Research, vol.12, no.2/3, pp.201-242.
  • RONKAINEN, V., KOSKINEN, L. & BERGLUND, R. (2007). “Topical modelling issues in Solvency II”. Scandinavian Actuarial Journal 2007-2. 135-146,
  • SHARPE, W. (1995). Forework. In Beckstrom, R. & Campbell, A. An introduction to the Var. Palo Alto, CA: CATS software.
  • STAMBAUGH, F. (1996). “Risk and Value at Risk”. European Management Journal, vol.14, no.6, pp. 612-621.
  • TRAINAR, P. (2006). “The Challenge of Solvency Reform for European Insurers”. The Geneva Papers on Risk and Insurance Issues and Practice, 31(1), 169–185. DOI: 10.1057/palgrave.gpp
  • VAN BRAGT, D., STEEHOUWER, H., & WAALWIJK, B. (2010). ”Market Consistent ALM for Life Insurers—Steps toward Solvency II”. The Geneva Papers on Risk and Insurance Issues and Practice, 35(1), 92–109. DOI:10.1057/gpp.2009.34
  • VAN BRAGT, D. & KORT, D.J. (2010b). ”Liability-Driven Investing for Life Insurers”. The Geneva Papers on Risk and Insurance Issues and Practice, 36(1), 30–49. DOI:10.1057/gpp.2010.36
  • WILLEMSE, W. J., & WOLTHUIS, H. (2005). Risk based solvency norms and their validity. 28th International Congress of Actuaries. Paris.
  • YANG, S. S. (2011). “Securitisation and Tranching Longevity and House Price Risk for Reverse Mortgage Products”. The Geneva Papers on Risk and Insurance Issues and Practice, 36 (4), 648–674. DOI:10.1057/gpp.2011.26.