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1 ICJ - Institut Camille Jordan Villeurbanne 2 SAF - Laboratoire de Sciences Actuarielle et Financière 3 COACTIS

Abstract : The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an important exercise for all insurers and specially for groups. Considering multi-branches firms, capital allocation has to be based on a multivariate risk modeling. Several allocation methods are present in the literature and insurers practices. In this paper, we present a new risk allocation method, we study its coherence using an axiomatic approach, and we try to define what the best allocation choice for an insurance group is.

Keywords : Multivariate risk indicators Own Risk and Solvency Assessment ORSA coherence properties dependence modeling optimal capital allocation. risk theory Solvency 2 Solvency Capital Requirement SCR





Author: Véronique Maume-Deschamps - Didier Rullière - Khalil Said -

Source: https://hal.archives-ouvertes.fr/



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