Simulación de MonteCarlo aplicada a un modelo interno para calcular el riesgo de mortalidad en solvencia II

Abstract

Solvency II entered into force on 1 January 2016. This rule establishes a new and common regulatory framework for those insurance companies operating within the European Union. One important aspect of this regulation refers to the calculation of the solvency capital requirement (SCR). It allows to use any of the following two methods: either the standard model, based on formulas provided by the regulator, or the internal model, where the formulas for the calculation of the SCR is based on the own experience of the company. In this work we propose an internal model based on Monte Carlo simulations in order to calculate the SCR associated to the mortality risk of the life underwriting risk module of the life insurance. We identify this SCR with the VaR (at 99.5%) of the difference between the present value of assets minus liabilities corresponding to two consecutive years. Unlike the standard model, in the proposed internal model, the SCR associated to the mortality risk depends on the structure and characteristics of the underlying insurance portfolio.