Author(s):
Herculano, Miguel Colburn
Date: 2013
Persistent ID: http://hdl.handle.net/10400.5/6043
Origin: Repositório da UTL
Subject(s): Internal Model; Worker´s compensation; Solvency II; SCR; Elasticity; CIR model; VaR; Geometric Mortality Model; life underwritings risks; stochastic modeling; longevity risk; interest rate risk; expense risk; revision risk
Description
Mestrado em Ciências Actuariais
This paper resumes the main findings from modeling life underwriting risks to which Worker´s Compensation is exposed. Models presented aim to shorten the path between ad hoc procedures in place and the new capital requirements foreseen by Solvency II. The legal framework of this line of business is primarily explained as it is determinant for modeling purposes. We then provide a discussion about risk models in use, major options, assumptions and other relevant issues that were regarded when modeling this line of business.