Christiansen, M.C., Denuit, M.M., & Lazar, D. (2012) Insurance: Mathematics and Economics [Core Economics, Q2]

Publicat: 01 Septembrie 2021

Christiansen, M.C., Denuit, M.M., & Lazar, D. (2012) The Solvency II square-root formula for systematic biometric risk. Insurance: Mathematics and Economics, 50(2), 257-265.

DOI: https://doi.org/10.1016/j.insmatheco.2011.11.008

✓ Publisher: Elsevier
✓ Categories: Economics; Mathematics, Interdisciplinary Applications; Statistics & Probability
✓ Article Influence Score (AIS): 0.683 (2012) / Q2 in Economics; Mathematics, Interdisciplinary Applications; Q3 in Statistics & Probability;

Abstract: In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we can obtain expressions similar to the square-root formula in Solvency II by means of limited expansions around the best estimate. Numerical illustrations are given, based on German population data. Even if the square-root formula can be supported by theoretical considerations, it is shown that the QIS correlation matrix is highly questionable.

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