Modellizzazione del rischio catastrofale da terremoto nel contesto dei modelli di Solvency II

Solvency II is the new set of rules under which European insurers will have to work from January 2016. It brings several changes in the way the insurance industry must measure and describe risk. In particular, it distinguishes between standard risk models and personalised models (called internal models). This structure poses several issues when dealing with catastrophe risks. The thesis aims thus to give a comprehensive view on how non-life catastrophe risks ¿in particular natural catastrophe risks- can be assessed. The first chapter gives a general overview of the Solvency II framework and describes the standard formula. The second chapter provides instead requirements and examples of structures for catastrophe models. Eventually, the work focuses on earthquake risk in Italy. It is tried to set up a model in order to assess possible losses from earthquakes in the Milan area. Several sensitivity analyses are done, stressing mainly assumptions on natural events. This part is explained in chapter 3. In chapter 4 final conclusions are drawn.