SCR en el riesgo de suscripción del seguro de vida: mortalidad, longevidad y reaseguro

Abstract

The aim of this work is to propose an internal model based on the Monte Carlo’s simulation method, for the calculation of the solvency capital requirement of the subscription of life’s risk, of an insurances company that presents two risks, the survival and mortality ones. Unlike the standard model, the aggregation of these two risks will carry out without knowing the correlation matrixes. Afterwards, the effect that the different modalities of reinsurance have in the solvency capital requirement will be analyzed. The modalities of reinsurance object of analysis are the quota share, the surplus and the stop-loss.