Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258027 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 3 [Article No.:] 74 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the fitting of Danish fire insurance data using a composite model with a random threshold. Secondly we prove, by fitting the Danish fire insurance data, that for large insurance companies the volatility of the standard formula is higher than the volatility estimated with internal models such as composite models, also taking into account the dependence between attritional and large claims.
Subjects: 
composite models
copula functions
Fast Fourier Transform
dependent random variables
volatility
Solvency II
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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