scholarly journals Solvency II solvency capital requirement for life insurance companies based on expected shortfall

2017 ◽  
Vol 7 (2) ◽  
pp. 405-434 ◽  
Author(s):  
Tim J. Boonen
Keyword(s):  
Life Insurance ◽  
Solvency Ii ◽  
Expected Shortfall ◽  
Insurance Companies ◽  
Capital Requirement ◽  
Solvency Capital Requirement ◽  
Solvency Capital

FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II

2014 ◽  
Vol 44 (3) ◽  
pp. 501-533 ◽  
Author(s):  
Marcus C. Christiansen ◽  
Andreas Niemeyer
Keyword(s):  
Value At Risk ◽  
Risk Measures ◽  
Solvency Ii ◽  
Capital Requirement ◽  
Insurance Regulation ◽  
Modeling Framework ◽  
Solvency Capital Requirement ◽  
Risk Margin ◽  
Solvency Capital ◽  
Definition Of

AbstractIt is essential for insurance regulation to have a clear picture of the risk measures that are used. We compare different mathematical interpretations of the Solvency Capital Requirement (SCR) definition from Solvency II that can be found in the literature. We introduce a mathematical modeling framework that enables us to make a mathematically rigorous comparison. The paper shows similarities, differences, and properties such as convergence of the different SCR interpretations. Moreover, we generalize the SCR definition to future points in time based on a generalization of the value at risk. This allows for a sound definition of the Risk Margin. Our study helps to make the Solvency II insurance regulation more consistent.

scholarly journals On The Longevity Risk Assessment Under Solvency II

2015 ◽  
Vol 31 (3) ◽  
pp. 1149
Author(s):  
Sana Ben Salah ◽  
Lotfi Belkacem
Keyword(s):  
Risk Assessment ◽  
Solvency Ii ◽  
Standard Approach ◽  
Mortality Data ◽  
Longevity Risk ◽  
Capital Requirement ◽  
Insurance Company ◽  
Solvency Capital Requirement ◽  
Standard Formula ◽  
Solvency Capital

<p>This paper deals with the longevity risk assessment within the Solvency II framework. We propose a methodology allowing obtaining longevity shocks specified by gender, age and maturity. These shocks, which are calibrated on experience mortality data relative to a French insurance company, are proved to be far away from that assumed in the standard formula and the resulting solvency capital requirement (SCR) leads to significant capital savings as compared to the standard approach.</p>

scholarly journals A CORRELATION SENSITIVITY ANALYSIS OF NON-LIFE UNDERWRITING RISK IN SOLVENCY CAPITAL REQUIREMENT ESTIMATION

2013 ◽  
Vol 43 (1) ◽  
pp. 21-37 ◽  
Author(s):  
Lluís Bermúdez ◽  
Antoni Ferri ◽  
Montserrat Guillén
Keyword(s):  
Sensitivity Analysis ◽  
Solvency Ii ◽  
Capital Requirement ◽  
Solvency Capital Requirement ◽  
The Standard Model ◽  
Solvency Capital ◽  
One Year ◽  
The Impact ◽  
Model Approach

AbstractThis paper analyses the impact of using different correlation assumptions between lines of business when estimating the risk-based capital reserve, the solvency capital requirement (SCR), under Solvency II regulations. A case study is presented and the SCR is calculated according to the standard model approach. Alternatively, the requirement is then calculated using an internal model based on a Monte Carlo simulation of the net underwriting result at a one-year horizon, with copulas being used to model the dependence between lines of business. To address the impact of these model assumptions on the SCR, we conduct a sensitivity analysis. We examine changes in the correlation matrix between lines of business and address the choice of copulas. Drawing on aggregate historical data from the Spanish non-life insurance market between 2000 and 2009, we conclude that modifications of the correlation and dependence assumptions have a significant impact on SCR estimation.

Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures

2017 ◽  
Vol 76 ◽  
pp. 164-171 ◽  
Author(s):  
Balázs Mezőfi ◽  
Andras Niedermayer ◽  
Daniel Niedermayer ◽  
Balázs Márton Süli
Keyword(s):  
Solvency Ii ◽  
Capital Requirement ◽  
Solvency Capital Requirement ◽  
Solvency Capital

scholarly journals Solvency capital requirement and the claims development result

2018 ◽  
Vol 23 ◽  
Author(s):  
D. Munroe ◽  
B. Zehnwirth ◽  
I. Goldenberg
Keyword(s):  
Balance Sheet ◽  
Solvency Ii ◽  
Capital Requirement ◽  
Long Tail ◽  
Solvency Capital Requirement ◽  
Solvency Capital ◽  
Economic Balance ◽  
Development Result ◽  
Made In

AbstractIn this paper, four variants of calculating the Solvency Capital Requirement for long-tail liabilities satisfying Solvency II regulations are discussed. The merits of each metric are related to the stated objectives of Solvency II. Assumptions made in the calculations are assessed for suitability for the determination of an appropriate level of Solvency Capital. We show that two methods for calculating Solvency Capital provide insufficient capital to restore the Economic Balance Sheet in the event of distress. The standard formula referencing the Claims Development Result is shown to be too conservative when models are correctly specified.

scholarly journals INTERNATIONAL EXPERIENCE IN REGULATING LIFE INSURANCE COMPANIES

2020 ◽  
Vol 6 (4(73)) ◽  
pp. 59-63
Author(s):  
Yu.K. Harakoz
Keyword(s):  
Life Insurance ◽  
Solvency Ii ◽  
Insurance Companies ◽  
Accurate Assessment ◽  
Regulation And Supervision ◽  
Bank Regulation And Supervision ◽  
The Russian Federation ◽  
Insurance Business ◽  
Special Rules ◽  
Business Entities

The growth of the life insurance segment encourages the state supervisory authority for the activities of insurance business entities to create conditions for its sustainable development, including through the introduction of a risk-based approach to the regulation and supervision of insurance companies –the Solvency II Directive. The Solvency II Directive is similar in concept to the risk-based approach to Bank regulation and supervision (Basel II). The expected results of its introduction are an adequateand comprehensive assessment of the risks of the insurance company's activities, compliance of the amount of capital with the level and profile of risks taken, as well as transparency and special rules for disclosure of information about its activities. Increasing growth rates in the insurance market and prospects for increasing the level of supervision by the Central Bank of the Russian Federation require life insurance companies to implement practical methods for assessing their capital, which are based on the most accurate assessment of their risks

Sign in / Sign up

Export Citation Format

Share Document