Αποτίμηση κινδύνου γενικών ασφαλίσεων με βάση την οδηγία Solvency II
Non-life risk valuation based on Solvency II
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Abstract
Solvency II is the new European directive that will reform capital requirements for life and non-life insurance undertakings. The evaluation of premium and reserve risk for non-life insurance undertakings will be presented in this paper. The standard model for calculating economic capital requirements, proposed by Solvency II, QIS5 will be analyzed. An alternative model will be developed, in order to define company specific estimators for premium and reserve risk volatilities, as well as correlation coefficients between those risks and between lines of business. If approved by the European authorities, this model can be used as an internal model for the evaluation of premium and reserve risk. Basic principles of the Swiss Solvency Test will also be presented.
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές