Modelling non-life risk for Solvency II in a reinsurance context

With the implementation measures of Solvency II being finalised, the optimal complexity of internal models - how to best account for risks with as few redundancies as possible - is of great importance. This month's Cutting Edge section focuses on the problem for the non-life module from the point of view of a reinsurer, and shows that three factors are enough to consider in the assumptions for correlation between premium and reserve risks. Click below to download the pdf: Modelling non-life r