A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

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 Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Draft genome sequence of Aeromonas molluscorum strain 848TT, isolated from bivalve molluscs

We report here the draft genome sequence of Aeromonas molluscorum 848T, the type strain of this Aeromonas species, which was isolated from wedge shells (Donax trunculus) obtained from a retail market in Barcelona, Spain, in 1997.

Draft genome sequence of the Aeromonas diversa type strain

We present here the first genome sequence of the Aeromonas diversa type strain (CECT 4254T). This strain was isolated from the leg wound of a patient in New Orleans (Louisiana, USA) and was originally described as Enteric Group 501 and distinguished from A. schubertii by DNADNA hybridization and phenotypical characterization.

A correlation sensitivity analysis of non-life underwriting risk in solvency capital requirement estimation

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 Model approach. Alternatively, the requirement is then calculated using an Internal Model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.