Solvency 2 Directive provides a range of methods to calculate the Solvency CapitalRequirement (SCR). Focusing on the Standard Formula (SF) approach withUndertaking-Specific Parameters (USPs), the Technical Specifications (TS) ofQuantitative Impact Study 5 (QIS5) describes a subset of the SF market parameters(standard deviations) that may be replaced by USPs, in order to calculate the SCRderiving from Premium Risk, using three different standardised methods. Comparedto the existing literature and practice, this paper innovates in that this standarddeviation will be calculated using a Partial Internal Risk Model (PIRM), based onGeneralised Linear or Additive Models (GLM or GAM), showing how the techniquesusually developed for premium calculation could be useful for this goal
The Estimation of Standard Deviation of Premium Risk Under Solvency 2
CERCHIARA, Rocco Roberto
;
2014-01-01
Abstract
Solvency 2 Directive provides a range of methods to calculate the Solvency CapitalRequirement (SCR). Focusing on the Standard Formula (SF) approach withUndertaking-Specific Parameters (USPs), the Technical Specifications (TS) ofQuantitative Impact Study 5 (QIS5) describes a subset of the SF market parameters(standard deviations) that may be replaced by USPs, in order to calculate the SCRderiving from Premium Risk, using three different standardised methods. Comparedto the existing literature and practice, this paper innovates in that this standarddeviation will be calculated using a Partial Internal Risk Model (PIRM), based onGeneralised Linear or Additive Models (GLM or GAM), showing how the techniquesusually developed for premium calculation could be useful for this goalI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
