This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard...

Our objective is to analyse fraud as an operational risk for the insurance company. We study the effect of a fraud detection policy on the insurer's results account, quantifying the loss risk from the perspective of claims auditing. From the point of view of operational risk, the study aims to...

This paper presents an analysis of motor vehicle insurance claims relating to vehicle damage and to associated medical expenses. We use univariate severity distributions estimated with parametric and non-parametric methods. The methods are implemented using the statistical package R. Parametric...

In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a...

Traditional with-profits pension saving schemes have been criticized for their opacity, plagued by embedded options and guarantees, and have recently created enormous problems for the solvency of the life insurance and pension industry. This has fueled creativity in the industry's product...

We investigate the performance of pension schemes of with profit policies containing a guaranteed minimum rate of return. We use some simple assumptions and we compare them with a trivial strategy that keeps the percentage of investments in stocks constant along the duration of the contract and...

Operational risk data sets have two types of sample selection problems: truncation below a given threshold due to data that are not recorded and random censoring above that level caused by data that are not reported. This paper proposes a model for operational losses that improves the internal...

Hiquest;gh, Linton and Nielsen (2006) showed that the famous result in the reward winning paper of Froot and Stein (1998) is not correct in the sense that their result does not follow from their assumptions. In this paper we show that the economic intuition behind the paper of Froot and Stein...

We investigate a concept of multivariate pricing, which includes claim history for more than one line of business and is a generalization of the Buuml;hlmann-Straub model. The multivariate credibility model is extended to allow for the age of claims to influence the estimation of future claims....

We present a method to combine expert opinion on the likelihood of under-reporting with an operational risk dataset: Under-reporting means that not all losses are identified and that incorrect distributional assumptions may be made and ultimately an incorrect assessment made of capital required....