In this paper we propose an adjusted denition of the undertaking-specic parameter (USP) according to method 1 as defined in the Solvency II regulation, which also take into account the (estimated) portfolio volume of the solvency year under consideration. In addition we present a closed-form formula for approximating the USP. This is a practical result which allows to approximate the USP without performing any numerical optimization.
On the USP Calculation Under Solvency II and its Approximation with Closed Form Formula
CERCHIARA R. R.
2017-01-01
Abstract
In this paper we propose an adjusted denition of the undertaking-specic parameter (USP) according to method 1 as defined in the Solvency II regulation, which also take into account the (estimated) portfolio volume of the solvency year under consideration. In addition we present a closed-form formula for approximating the USP. This is a practical result which allows to approximate the USP without performing any numerical optimization.File in questo prodotto:
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