Solvency capital requirement (SCR)
Optimal allocation of model risk appetite and validation threshold in the Solvency II framework
In this paper, the authors derive an analytical solution for sub-SCR VTs starting with a model risk appetite (MRA) that defines acceptable errors for an insurer’s total SCR.
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
Generali boosts capital with sale of German unit
Offloading Generali Leben will bolster group's SCR by 2.6%; Generali Deutschland's by 43%
EU insurers most exposed to French sovereign risk
French government bonds make up 23% of sovereign exposures
EU insurance solvency ratios strengthen in 2017 – Eiopa
Average solvency ratio climbs to 237%
Brexit dims hopes for Solvency II change in UK
Lawyers say political tensions may have killed off chance of reform, following PRA U-turn
Solvency II capital charges concentrated in two key risks
Market risk SCR averages 37% across six large insurers
Allianz reduces interest rate risk following model change
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
Eiopa targets cyber risk in stress tests
Forty-two insurers quizzed on IT vulnerabilities
Axa tackles equity risk
Efforts to reduce equity SCR boost Solvency II ratio by eight basis points
Deal or no deal? US divided on EU insurance agreement
Benefits of mutual recognition may encourage Trump administration to keep Obama’s last act
Custody Risk European Awards 2015: Insurance Custodian of the Year
Sponsored feature: BNP Paribas Securities Service
Insurers must perform balancing act
Winners' Circle: RBS
Insurers wary of capital 'uncertainty' in multi-asset funds
Firms concerned about modelling future portfolio changes
Insurers testing exotics for Solvency II optimisation
Dealers tackle uncertainty over basis risk
New frontiers in investment strategies – Combatting the low interest rate environment
Sponsored feature: Standard Life
Dutch slide shows peril of lower solvency ratios
Insurers see stock prices dip after restating expectations
How to assess standard formula appropriateness
The areas where firms must work hardest to show suitability
Eiopa Insurance Stress Test – Should alarm bells be ringing?
Sponsored feature: Pimco
Eiopa cuts matching adjustment risk margin
UK insurers welcome additional capital relief
EU insurance stress tests reveal industry vulnerability to ‘Japanification’
Quarter of firms would suffer negative cashflows in prolonged low interest rate scenario
Matching adjustment: delegated acts leave risk margin unclear
Industry still split on inclusion of spread risk in calculation
UK insurers cautioned on Solvency II credit risk assumptions
Regulator challenges "mechanistic re-application" of matching adjustment