Resumo

BARANANO ABASOLO, Aitor; DE LA PENA ESTEBAN, J. Iñaki  e  GARAYETA BAJO, Asier. MEASURING UNDERWRITING RISK THROUGH INTERNAL MODELS IN SOLVENCY II. Innovar [online]. 2016, vol.26, n.62, pp.113-128. ISSN 0121-5051.  https://doi.org/10.15446/innovar.v26n62.59392.

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.

Clasificación JEL: G30, G22, G28.

Palavras-chave : Solvency II; calibration; underwriting risk; Monte Carlo method.

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