Solvency Capital for Non Life Insurance: Modelling Dependence Using Copulas
Solvency Capital for Non Life Insurance: Modelling Dependence Using Copulas
Author(s): Sawssen Araichi, Lotfi BelkacemSubject(s): Business Economy / Management, Recent History (1900 till today), Methodology and research technology, Financial Markets
Published by: Reprograph
Keywords: solvency capital requirement; reserves; claims dependence; copulas functions; goodness of fit test; simulation methods;
Summary/Abstract: The aim of this article is to improve the internal model of the solvency 2 framework, by assessing a solvency capital for non life insurance portfolio, taking into account potential dependencies between insured risks. We used two stochastic models and a simulation technique to determine the distribution of reserve. Then we modelled the dependence using several copulas and the best one was selected using a goodness of fit test. Finally we evaluated the solvency capital in the dependent and independent case. By comparing the results, we highlighted the effect of dependence on solvency capital of the insurance company.
Journal: Journal of Applied Economic Sciences (JAES)
- Issue Year: IX/2014
- Issue No: 30
- Page Range: 702-705
- Page Count: 4
- Language: English