Insurance Cross Risk Correlation Study 2021

Report - December 2021

In 2021, ORX carried out a short study on cross-risk correlation in insurance firms.

The study was run in collaboration with the Insurance Analytics Working Group, and aimed to capture:

• The level of dependency firms estimate between risk modules for the purpose of calculating capital
• The granularity at which dependency is being estimated

The study was designed primarily for firms with a solvency capital requirement (SCR).

However, we also welcomed firms without this requirement to complete the survey with respect to another capital estimate.