Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA

Pierre Arnal
Romain Durand
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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.
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Dates et versions

hal-00502848 , version 1 (15-07-2010)

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  • HAL Id : hal-00502848 , version 1

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Stéphane Loisel, Pierre Arnal, Romain Durand. Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA. 2010. ⟨hal-00502848⟩
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