Bermúdez, Lluís; Ferri, Antoni; Guillén, Montse - Facultat d'Economia i Empresa, Universitat de Barcelona - 2011
This paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the Solvency Capital Requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the Standard...
