scholarly journals Fire Risk Sub-Module Assessment under Solvency II. Calculating the Highest Risk Exposure

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1279
Author(s):  
Elena Badal-Valero ◽  
Vicente Coll-Serrano ◽  
Jorge Segura-Gisbert
Keyword(s):  
Fire Risk ◽  
Solvency Ii ◽  
Risk Profile ◽  
Risk Exposure ◽  
Insurance Company ◽  
New Approach ◽  
Solvency Capital Requirement ◽  
Catastrophe Risk ◽  
European Directive ◽  
Solvency Capital

The European Directive 2009/138 of Solvency II requires adopting a new approach based on risk, applying a standard formula as a market proxy in which the risk profile of insurers is fundamental. This study focuses on the fire risk sub-module, framed within the man-made catastrophe risk module, for which the regulations require the calculation of the highest concentration of risks that make up the portfolio of an insurance company within a radius of 200 m. However, the regulations do not indicate a specific methodology. This study proposes a procedure consisting of calculating the cluster with the highest risk and identifying this on a map. The results can be applied immediately by any insurance company, covered under the Solvency II regulations, to determine their maximum exposure to the catastrophic man-made risk of fire, instantly providing them with the necessary input for calibration of the solvency capital requirement.

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>

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 TEST FOR CHANGES IN THE MODELED SOLVENCY CAPITAL REQUIREMENT OF AN INTERNAL RISK MODEL

2021 ◽  
pp. 1-25
Author(s):  
Daniel Gaigall
Keyword(s):  
Risk Model ◽  
Broad Class ◽  
Capital Requirement ◽  
Insurance Company ◽  
Model Output ◽  
The European Union ◽  
Finite Sample ◽  
Test Statistic ◽  
Solvency Capital Requirement ◽  
Solvency Capital

ABSTRACT In the context of the Solvency II directive, the operation of an internal risk model is a possible way for risk assessment and for the determination of the solvency capital requirement of an insurance company in the European Union. A Monte Carlo procedure is customary to generate a model output. To be compliant with the directive, validation of the internal risk model is conducted on the basis of the model output. For this purpose, we suggest a new test for checking whether there is a significant change in the modeled solvency capital requirement. Asymptotic properties of the test statistic are investigated and a bootstrap approximation is justified. A simulation study investigates the performance of the test in the finite sample case and confirms the theoretical results. The internal risk model and the application of the test is illustrated in a simplified example. The method has more general usage for inference of a broad class of law-invariant and coherent risk measures on the basis of a paired sample.

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.

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