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Solvency 2 correlation matrices

Discussion in 'SP9' started by Edwin, Jan 29, 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.
     
    Edwin, Jan 29, 2015
    #1
  2. zuglubuglu

    zuglubuglu Member

    You might want to look into CEIOPS or EIOPA documents but they seem to have been more of the result of a discussion than an actual analysis.
     
    zuglubuglu, Jan 29, 2015
    #2

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