PROPERTY RISK UNDER SOLVENCY II: EFFECTS OF DIFFERENT UNSMOOTHING TECHNIQUES

Solvency II imposes risk-based capital requirements on EU insurance companies. This paper evaluates the property risk standard model proposed. The calibration was performed from the IPD UK monthly index total returns for the period between December 1986 and December 2009. In general, it is considere...

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Bibliographic Details
Published inTechnological and economic development of economy Vol. 25; no. 1; pp. 1 - 19
Main Authors Durán Santomil, Pablo, Otero González, Luís, Martorell Cunill, Onofre, Gil-Lafuente, Anna M.
Format Journal Article
LanguageEnglish
Published Vilnius Vilnius Gediminas Technical University 01.01.2019
Subjects
Calibratge
Calibration
Confidence intervals
internal model
IPD UK index
Mostreig (Estadística)
Property
property risk
Propietat
QIS5
Risc (Assegurances)
Risk (Insurance)
Risk levels
Sampling (Statistics)
Solvency
Solvency II
standard model
unsmoothing returns
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Summary:Solvency II imposes risk-based capital requirements on EU insurance companies. This paper evaluates the property risk standard model proposed. The calibration was performed from the IPD UK monthly index total returns for the period between December 1986 and December 2009. In general, it is considered that returns derived from valuation-based indices are smoother than those derived from transaction-based indices. This paper contributes to the existing literature by applying various unsmoothing techniques to this index. The results show that the capital requirements, applying the same calculation method (historical value at risk at the 99.5% confidence level) as in the calibration of the standard model, are generally bigger than those proposed in the standard model of Solvency II.
ISSN:2029-4913
2029-4921
DOI:10.3846/tede.2019.6213