Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective

The problem of aggregating the four claim handling procedures is dealt with by using copulas with the goal of building a single distribution of the aggregate claims reserve. Furthermore, in a Solvency II perspective, the capital requirement is determined against the reserve risk based on the internal model proposed and is compared with the standard formula proposed by EIOPA.