Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data

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ID: 113081
2020
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Abstract
We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the fitting of Danish fire insurance data using a composite model with a random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the volatility of the standard formula is higher than the volatility estimated with internal models such as composite models, also taking into account the dependence between attritional and large claims.
Reference Key
cerchiara2020risksestimating Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Rocco Roberto Cerchiara;Francesco Acri;Cerchiara, Rocco Roberto;Acri, Francesco;
Journal risks
Year 2020
DOI
10.3390/risks8030074
URL
https://doi.org/10.3390/risks8030074
Keywords
volatility solvency ii composite models copula functions fast fourier transform dependent random variables volatility solvency ii composite models copula functions fast fourier transform dependent random variables

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