Motivated by the possibility of a systemic crisis in the quality of sovereign credit standings, we investigate the effects of a systemic component in default correlations for typical Italian life insurance segregated fund portfolios, comparing with a more traditional approach where such component is absent. The systemic effects are modelled with a multidimensional Marshall-Olkin model, that – in addition – allows to describe possible segmentation effects of the market. In particular, we compare the valuation of the Solvency Capital Requirement in the Solvency II framework under the classical CreditRisk+approach and the Marshall-Olkin model.
Systemic sovereign risk in the valuation of Solvency capital requirements / Castellani, Gilberto; Domenico Mottura, C. a. r. l. o.; Passalacqua, Luca. - (2013). (Intervento presentato al convegno XXIII International AFIR Colloquium tenutosi a Lione, Francia nel 24-26 giugno 2013).
Systemic sovereign risk in the valuation of Solvency capital requirements
CASTELLANI, Gilberto;PASSALACQUA, LUCA
2013
Abstract
Motivated by the possibility of a systemic crisis in the quality of sovereign credit standings, we investigate the effects of a systemic component in default correlations for typical Italian life insurance segregated fund portfolios, comparing with a more traditional approach where such component is absent. The systemic effects are modelled with a multidimensional Marshall-Olkin model, that – in addition – allows to describe possible segmentation effects of the market. In particular, we compare the valuation of the Solvency Capital Requirement in the Solvency II framework under the classical CreditRisk+approach and the Marshall-Olkin model.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.