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

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

dc.contributor.author	Badal Valero, Elena
dc.contributor.author	Coll Serrano, Vicente
dc.contributor.author	Segura Gisbert, Jorge
dc.date.accessioned	2022-04-24T16:10:42Z
dc.date.available	2022-04-25T04:45:06Z
dc.date.issued	2021	es_ES
dc.identifier.citation	Badal-Valero E, Coll-Serrano V, Segura-Gisbert J. Fire Risk Sub-Module Assessment under Solvency II. Calculating the Highest Risk Exposure. Mathematics. 2021; 9(11):1279.	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/82353
dc.description.abstract	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.	es_ES
dc.language.iso	en	es_ES
dc.subject	fire risk	es_ES
dc.subject	man-made catastrophe	es_ES
dc.subject	solvency II	es_ES
dc.subject	r programming language	es_ES
dc.subject	cluster of the highest risk	es_ES
dc.title	Fire risk sub-module assessment under solvency II. Calculating the highest risk exposure	es_ES
dc.type	journal article	es_ES
dc.subject.unesco	UNESCO::CIENCIAS ECONÓMICAS	es_ES
dc.identifier.doi	10.3390/math9111279	es_ES
dc.accrualmethod	S	es_ES
dc.embargo.terms	0 days	es_ES