Margining insurance liabilities
European insurers currently test two methods for calculating the risk margin. The authors take the case of longevity risk to show the focus should also be on thorough parameter estimation
Introduction
In the process of advising the European Commission on the new solvency and supervisory standard for insurance companies, Solvency II, European insurance supervisors1 have recently launched the second quantitative impact study (QIS2). The first study dealt with the calculation of the technical provisions. This new study tests the impact of some possible options for setting the solvency capital requirement (SCR). In between the two impact studies, a market-based 'cost-of-capital'
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