Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA
Résumé
We explain why correlation crises may occur in insurance and finance. These phenomena are not taken into account in Solvency II standard formula. We show the importance of taking them into account in internal models or partial internal models. Given the variety of scenarios that could lead to correlation crises and their different potential impacts, we support the idea that ORSA (Own Risk and Solvency Assessment) reports of insurance companies should include dynamic and causal correlation crises analyzes.
Domaines
Economies et financesOrigine | Fichiers produits par l'(les) auteur(s) |
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