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Undertaking specific parameters under Solvency II: reduction of capital requirement or not? (English) Zbl 1394.91198
Summary: Solvency II regulation provides different approaches for the calculation of the solvency capital requirement (SCR): standard formula with simplification, standard formula, standard formula with undertaking specific parameters (USP), partial internal model and full internal model. In particular this regulation describes a subset of the Standard Formula market parameters (standard deviations) that may be replaced by USP, in order to calculate the SCR deriving from Premium and Reserving Risks of a Non-Life insurance company. This paper aims to explain the data requirements, methodologies and results according the so-called standardized methods proposed in the Solvency II regulation for the USP. Applying the standardized methods to three companies respectively of small, medium and large sizes and developing some sensitivity analysis, regarding the change in data from year to year, peaks and other issues which standardized methods look sensitive, the paper shows when the USP could reduce the SCR in comparison with the Standard Formula approach.
MSC:
91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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