I. Albarrán Lozano, P. Alonso González, J. M. Marín Diazaraque
The passing of Directive 2009/138/CE (Solvency II) has opened a new era in the European insurance market. According to this new rule, the volume of own resources will be determined depending on the risks that any insurer would be holding. The Directive establishes that the European entities can use a general model to estimate the level of economic capital. However, this situation is far from being optimal because the calibration of the general model has been made using figures that reflects average behaviour. This paper shows that not all the companies operating in a specific market have the same risk profile. So, it is inappropriate to use a general model for all of them. We use the PAM clustering method and then some Bayesian tools to check the results previously obtained. Analysed data (public information belonging to Spanish insurance companies about balance sheets and income statements from 1998 to 2007) comes from the DGSFP (Spanish insurance regulator).
Palabras clave: Solvency II, PAM, longitudinal multinomial model
Programado
MD6 Modelos estadísticos 1
17 de abril de 2012 15:30
Sala Roma I
