Ocena efektu dywersyfikacji ryzyka w Solvency II – aspekty metodyczny i praktyczny
Assessment of the diversification effect in Solvency II – practical and methodological aspects

Summary/Abstract: The paper briefly characterizes the Solvency II regime, presents the standard procedure for determining the Solvency Capital Requirement and presents and discusses selected results of QIS5 study relating to the diversification effect. This effect greatly reduces the Solvency Capital Requirement. The variance- covariance methodology which is used to estimate the diversification effect can over or underestimate it. Therefore the paper suggests the need for research into methods for modeling the dependence struc- ture of the Solvency Capital Requirements.

• Details
• Contents