Efekt dywersyfikacji ryzyka w Solvency II w świetle wyników ilościowego badania wpływu QIS5
The diversification effect in Solvency II in the light of the fifth quantitative impact study

Summary/Abstract: The paper briefly characterizes the Solvency II regime, presents the standard procedure for determining the Solvency Capital Requirement and presents and discusses the selected results of QIS5 study relating to the diversification effect. This effect greatly reduces the Solvency Capital Requirement. The variance-covariance methodology which is used to estimate the diversification effect can over- or underestimate it. Therefore the paper suggests the need for research into methods for modeling the dependence structure of the Solvency Capital Requirements.

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