Modelling Premium Risk for Solvency II: from Empirical Data to Risk Capital Evaluation


Considering a real case study, we derive the capital requirement for premium risk for a single line of business through a partial internal model. We focus on the analysis of claim size distribution by exploring the performance of alternative methodologies based on the Minimum Distance Approach to fit pure, mixtures and spliced distributions. This topic is relevant in the actuarial literature in order to analyse the impact of a threshold to separate attritional and large claims in the identification of the claim size distribution to be used for risk capital evaluation (premium risk in Solvency II).

Length of Resource
25 pages
Gian Paolo Clemente, Nino Savelli and Diego Zappa
Date Published
Publication Type
Resource Type

ResourceID: 177859

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