We are presenting the methodology of partial internal model for calculation of solvency capital requirement (SCR) for the non-life underwriting risk module. Based on this we will make a calculation for the reinsurer which covers excess of loss reinsurance for the event of european windstorm in six countries (Ireland, Great Britain, France, Belgium, Netherlands and Germany), in each for three cedants. The model will be built based on the loss history of the cedants, where we will use collective risk model (Poisson – Pareto Type II). Aggregation will be done on two levels, first on the level of the individual country and then also between the countries. For the first, the correlation matrix will be determined based on sums insured of the cedant's portfolios according to post numbers or administrative units and for the correlation matrix between the countries we will use the one prescribed by Solvency II Regulation. The basis for aggregation is the practical algorithm for aggregation of samples of distributions, Iman-Conover method.
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