Solvency 2 correlation matrices

Discussion in 'SA5' started by Edwin, Jan 28, 2015.

  1. Edwin

    Edwin Member

    Hi all,

    Does anyone think they know where the Solvency 2 correlation matrices come from?...

    ....i.e where the 0.25 and 0.5's come from. It seems too good to be true that most risks have a correlation of either 0,0.25,0.5,0.75,1 or -1.
     
  2. Colin McKee

    Colin McKee ActEd Tutor Staff Member

    I assume this is more of an ST9 enquiry, as the actual matrices are only referred to at a high level in SA5. I do not have any information, but maybe someone else does?
     
  3. Edwin

    Edwin Member

    Hi Colin, thanks I was trying to avoid double posting.
     

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