The Solvency II square-root formula for systematic biometric risk

2012 
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.
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    7
    References
    28
    Citations
    NaN
    KQI
    []