Modellvalidierung mit Hilfe von Quantil-Quantil-Plots unter Solvency II (Model validation on the basis of quantile-quantile-plots under Solvency II)

TL;DR

This paper introduces a mathematically accurate method using quantile-quantile-plots for validating risk models under Solvency II, addressing deviations from assumed distributions in insurance risk assessments.

Contribution

It presents a new, simple, and precise approach for model validation using QQ-plots tailored for Solvency II compliance requirements.

Findings

Effective detection of deviations from assumed distributions

Applicable to reserve and premium risk analysis

Enhances regulatory compliance and risk assessment accuracy

Abstract

After several years of development, the Solvency II-project has finally been set to work in the European Union with the beginning of the year 2016. This has caused massive changes in the regional legislative supervisory acts. One new aspect of regulation is the requirement of an analysis and judgement concerning possible deviations of the company's risk profile from the assumptions underlying the standard formula in Solvency II. In particular, for the reserve and premium risk and the corresponding combined ratios, resp. a lognormal distribution is implicitly assumed. In this paper, we present a simple, but nevertheless mathematically accurate method on the basis of quantile-quantile-plots which is suitable to perform suvh kind of analyses.