RT Journal Article
T1 Property risk under solvency II : effects of different unsmoothing techniques
A1 Durán Santomil, Pablo
A1 Otero González, Luis
A1 Martorell Cunill, Onofre
A1 Gil Lafuente, Anna M.
K1 Solvency II
K1 Internal model
K1 Standard model
K1 Property risk
K1 QIS5
K1 Unsmoothing returns
K1 IPD UK index
AB Solvency II imposes risk-based capital requirements on EU insurance companies. This paper evaluates the property risk standard model proposed. The calibration was performed from the IPD UK monthly index total returns for the period between December 1986 and December 2009. In general, it is considered that returns derived from valuation-based indices are smoother than those derived from transaction-based indices. This paper contributes to the existing literature by applying various unsmoothing techniques to this index. The results show that the capital requirements, applying the same calculation method (historical value at risk at the 99.5% confidence level) as in the calibration of the standard model, are generally bigger than those proposed in the standard model of Solvency II.
PB Vilnius Gediminas Technical University
SN 2029-4913
YR 2019
FD 2019
LK http://hdl.handle.net/10347/20950
UL http://hdl.handle.net/10347/20950
LA eng
NO Durán Santomil, P., Otero González, L., Martorell Cunill, O., & Gil-Lafuente, A. , M. (2019). Property risk under solvency II: effects of different unsmoothing techniques. Technological and Economic Development of Economy, 25(1), 1-19
DS Minerva
RD 3 may 2026