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 Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

2016 ◽  
Vol 4 (1) ◽  
Author(s):  
Pierre Devolder ◽  
Adrien Lebègue
Keyword(s):  
Continuous Time ◽  
Risk Measures ◽  
Solvency Ii ◽  
Theory Approach ◽  
Ruin Theory ◽  
Solvency Capital Requirement ◽  
Solvency Capital ◽  
Definition Of ◽  
Longevity Bonds

AbstractThe purpose of this paper is twofold. First we consider a ruin theory approach along with risk measures in order to determine the solvency capital of long-term guarantees such as life insurances or pension products. Secondly, for such products,we challenge the definition of the Solvency Capital Requirement (SCR) under the Solvency II (SII) regulatory framework based on a yearly viewpoint. Several methods for the calculation of the solvency capital are presented. We start our study with risk measures as considered in the SII framework and then proceed with the ruin theory approach. Instead of considering the continuous time setting of the ruin theory,we consider the discrete time—the yearly basis—of the accounting viewpoint.We finally give an illustration with a fixed guaranteed rate product along with the equity, interest rate and longevity risks. The latter risk brings us to consider zero-coupon longevity bonds in which we invest the capital. We show that long-term guarantees might be overloaded under the SII regulation.

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
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