Modelowanie zależności w kontekście agregacji kapitałowych wymogów wypłacalności w Solvency II
Modeling of dependencies in the context of the aggregation of solvency capital requirements in Solvency II

Summary/Abstract: In this paper we present the problem of modeling of dependence structures in determining the solvency capital requirements in the Solvency II. We present a general concept of the solvency capital model in the Solvency II. This model belongs to the class of RBC models in which the aggregation of risk plays a fundamental role. We consider the insurance risk of the two classes of non-life insurance. In conclusion, we compare the results with the ones based on the Solvency II.

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