Analyzing solvency with extreme value theory: an application to the Spanish motor liability insurance market
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1 janvier 2010
- handle: 10670/1.1iy0kf
info:eu-repo/semantics/openAccess
Mots-clés
Generalized Pareto Distribution Tail estimation Solvency II excesses over high thresholds Solvency capital requirements XL Reinsurance risk measuresSujets proches
Insurance, Liability Capital assets Fixed assetsCiter ce document
María José Pérez-Fructuoso et al., « Analyzing solvency with extreme value theory: an application to the Spanish motor liability insurance market », Innovar, ID : 10670/1.1iy0kf
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Résumé
An accurate estimation of extreme claims is fundamental to assess solvency capital requirements (SCR) established by Solvency II. Basing on the Extreme Value Theory (EVT), this paper performs a parametric estimation to fit the motor liability insurance historical datasets of two significant and representative companies operating within the Spanish market to a Generalized Pareto Distribution. We illustrate how EVT improves classical adjustments, as it considers outliers apart from mass risks, what leads to optimize the pricing decision-making and fix a risk transfer position.