Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data
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 fit...
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MDPI AG
2020-07-01
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Series: | Risks |
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Online Access: | https://www.mdpi.com/2227-9091/8/3/74 |
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author | Rocco Roberto Cerchiara Francesco Acri |
author_facet | Rocco Roberto Cerchiara Francesco Acri |
author_sort | Rocco Roberto Cerchiara |
collection | DOAJ |
description | 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. |
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format | Article |
id | doaj.art-6cd39819a17d420db2591af9dd0d551e |
institution | Directory Open Access Journal |
issn | 2227-9091 |
language | English |
last_indexed | 2024-03-10T18:39:32Z |
publishDate | 2020-07-01 |
publisher | MDPI AG |
record_format | Article |
series | Risks |
spelling | doaj.art-6cd39819a17d420db2591af9dd0d551e2023-11-20T06:00:11ZengMDPI AGRisks2227-90912020-07-01837410.3390/risks8030074Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance DataRocco Roberto Cerchiara0Francesco Acri1Department of Economics, Statistics and Finance “Giovanni Anania”, University of Calabria, 87036 Arcavacata di Rende (CS), ItalyIndependent Researcher, 20135 Milan, ItalyWe 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.https://www.mdpi.com/2227-9091/8/3/74composite modelscopula functionsFast Fourier Transformdependent random variablesvolatilitySolvency II |
spellingShingle | Rocco Roberto Cerchiara Francesco Acri Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data Risks composite models copula functions Fast Fourier Transform dependent random variables volatility Solvency II |
title | Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data |
title_full | Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data |
title_fullStr | Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data |
title_full_unstemmed | Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data |
title_short | Estimating the Volatility of Non-Life Premium Risk Under Solvency II: Discussion of Danish Fire Insurance Data |
title_sort | estimating the volatility of non life premium risk under solvency ii discussion of danish fire insurance data |
topic | composite models copula functions Fast Fourier Transform dependent random variables volatility Solvency II |
url | https://www.mdpi.com/2227-9091/8/3/74 |
work_keys_str_mv | AT roccorobertocerchiara estimatingthevolatilityofnonlifepremiumriskundersolvencyiidiscussionofdanishfireinsurancedata AT francescoacri estimatingthevolatilityofnonlifepremiumriskundersolvencyiidiscussionofdanishfireinsurancedata |