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RESEARCH PRODUCT

Fire risk sub-module assessment under solvency II. Calculating the highest risk exposure

Elena Badal-valeroJorge Segura-gisbertVicente Coll-serrano

subject

Solvency II010504 meteorology & atmospheric sciencesGeneral Mathematics02 engineering and technology01 natural sciencesRisk profile:CIENCIAS ECONÓMICAS [UNESCO]Fire riskr programming language0202 electrical engineering electronic engineering information engineeringComputer Science (miscellaneous)Capital requirementQA1-939Risk exposuresolvency IIProxy (statistics)Engineering (miscellaneous)0105 earth and related environmental sciencesSolvencyActuarial scienceR programming languagecluster of the highest riskUNESCO::CIENCIAS ECONÓMICASDirectiveman-made catastrophePortfolio020201 artificial intelligence & image processingBusinessfire riskMathematics

description

The European Directive 2009/138 of Solvency II requires adopting a new approach based on risk, applying a standard formula as a market proxy in which the risk profile of insurers is fundamental. This study focuses on the fire risk sub-module, framed within the man-made catastrophe risk module, for which the regulations require the calculation of the highest concentration of risks that make up the portfolio of an insurance company within a radius of 200 m. However, the regulations do not indicate a specific methodology. This study proposes a procedure consisting of calculating the cluster with the highest risk and identifying this on a map. The results can be applied immediately by any insurance company, covered under the Solvency II regulations, to determine their maximum exposure to the catastrophic man-made risk of fire, instantly providing them with the necessary input for calibration of the solvency capital requirement.

yearjournalcountryeditionlanguage
2021-06-02
10.3390/math9111279https://doi.org/10.3390/math9111279