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.

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Modelling non-life risk

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