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• W2012139435 abstract "In this paper, we study data from the yearly reports the four major Swedish non-life insurers have sent to the Swedish Financial Supervisory Authority (FSA). We aim at finding marginal distributions of, and dependence between, losses on the five largest lines of business (LoBs) in order to create models for solvency capital requirement (SCR) calculation. We try to use data in an optimal way by sensibly defining an accounting year loss in terms of actuarial liability predictions and by pooling observations from several companies when possible to decrease the uncertainty about the underlying distributions and their parameters. We find that dependence between LoBs is weaker in our data than what is assumed in the Solvency II standard formula. We also find dependence between companies that may affect financial stability and must be taken into account when estimating loss distribution parameters. Moreover, we discuss under what circumstances an insurer is better (or worse) off using an internal model for SCR calculation, instead of the standard formula." @default.
• W2012139435 created "2016-06-24" @default.
• W2012139435 creator A5067700112 @default.
• W2012139435 date "2015-03-03" @default.
• W2012139435 modified "2023-09-25" @default.
• W2012139435 title "Signs of dependence and heavy tails in non-life insurance data" @default.
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• W2012139435 doi "https://doi.org/10.1080/03461238.2015.1017527" @default.
• W2012139435 hasPublicationYear "2015" @default.
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