SCR de riesgo de prima y de reserva del seguro de no vida: limitaciones del modelo normativo y alternativas estadísticas

Jaime Guiance Lapido; Francisco Rabadán Pérez; Sonia De Paz Cobo

doi:10.26360/2025_03

Authors

Jaime Guiance Lapido Universidad Rey Juan Carlos (España) https://orcid.org/0000-0002-4234-769X
Francisco Rabadán Pérez Universidad Rey Juan Carlos (España) https://orcid.org/0000-0002-4324-7244
Sonia De Paz Cobo Universidad Rey Juan Carlos (España) https://orcid.org/0000-0003-2098-0301

DOI:

https://doi.org/10.26360/2025_03

Keywords:

SCR, non-Life Insurance, copulas, simulation, internal models

Abstract

This article presents an alternative statistical approach for calculating the Solvency Capital Requirement (SCR) for premium and reserve risk in non-life insurance, complementing the standard methodology outlined in Solvency II. A statistic called ???? is proposed as an analysis tool, which is constructed without considering the diversification effects established by the standard formula To evaluate the usefulness of this alternative measure, Monte Carlo simulations and bootstrap techniques are applied under various probability distributions, including normal, uniform, log-normal, and Pareto. The analysis provides insights into how distributional assumptions and dependency structures influence the estimation of capital needs.The results highlight the potential of empirical quantile-based methods and internal modeling techniques, such as copulas, to enhance the understanding of risk aggregation in non-life portfolios. This study contributes to the actuarial literature by offering a complementary perspective on SCR estimation, supporting the development of tools that align with the diverse statistical characteristics of insurance portfolios.

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