On the USP Calculation Under Solvency II and its Approximation with Closed Form Formula
SIEGENTHALER F.; DEMARCO V.; CERCHIARA R.R.
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In this paper we propose an adjusted de nition of the undertaking-speci c parameter (USP) according to method 1 as defined in the Solvency II regulation, which also take into account the (estimated) portfolio volume of the solvency year under consideration. In addition we present a closed-form formula for approximating the USP. This is a practical result which allows to approximate the USP without performing any numerical optimization.
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