Medición del riesgo de suscripción mediante modelos internos en Solvencia II
- Aitor Barañano Abasolo 1
- J. Iñaki De La Peña Esteban 1
- Asier Garayeta Bajo 1
- 1 Universidad del País Vasco, España
ISSN: 0121-5051
Año de publicación: 2016
Volumen: 26
Número: 62
Páginas: 113-128
Tipo: Artículo
Otras publicaciones en: Innovar: revista de ciencias administrativas y sociales
Resumen
This study provides the development of a procedure for defining a model to calculate Underwriting Risk in Solvency II. For doing this, the data from a multi-risk portfolio, adjusted to the best statistical distribution, has been applied a Monte Carlo simulation for testing the proposed model. Afterwards, solvency capital of the deterministic approach for the previous legislation is compared against the result of applying the standard formula QIS4. Results show that the necessary capital in solvency to support underwriting risk depends on the portfolio they are based on, and, therefore, correctly measures risk.