Pandemic risk modelling in Solvency II internal models: Example of COVID-19
By Alexandre Boumezoued and Eve Titon
30 March 2020
This paper discusses actuarial perspectives for the calculation of the capital requirement related to catastrophic pandemic mortality as required by the Solvency II regulation. It also provides an overview of possible models to consider and explores some biases and challenges in parameter estimation.
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Eve Titon
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Pandemic risk modelling in Solvency II internal models: Example of COVID-19
This paper discusses actuarial perspectives for the calculation of the capital requirement related to catastrophic pandemic mortality as required by the Solvency II regulation.
Alexandre Boumezoued, Eve Titon