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Title :An assessment oft he Solvency Capital Requirement simplifications for Insurance Undertakings
Creator :Tsitsika, Panagiota
Contributor :Poufinas, Thomas (Επιβλέπων καθηγητής)
Athens University of Economics and Business, Department of Informatics (Degree granting institution)
Type :Text
Extent :52p.
Language :en
Abstract :The Solvency II regulatory framework has just been implemented as of January 1st, 2016 and among other things it introduced economic risk-based capital requirements across all EU Member States for the first time. Similar to Basel II, the Solvency II directive provides a new regime based on three pillars:• Pillar 1: Harmonized valuation and risk based capital requirements• Pillar 2: Harmonized governance and risk management requirements • Pillar 3: Harmonized supervisory reporting and public disclosureThe Solvency Capital Requirement (SCR) should correspond to the Value-at-Risk of the basic own funds of an insurance or reinsurance undertaking subject to a confidence level of 99.5% over a one-year period. Solvency II provides a range of methods to calculate the SCR. This allows undertakings to choose a method that is proportionate to the nature, scale and complexity of the risk that is measured. In order to calculate the SCR an insurance undertaking can use a fully internal model, the standard formula and a partial internal model, the standard formula with undertaking-specific parameters, the standard formula as it is or a simplification.When introducing a simplification, the SCR estimate could deviate from the calculation without the simplification. A simplification could lead in important/ crucial information missing from the SCR calculation. In some occasions the SCR is overestimated and in some others it is underestimated. It is therefore of interest to find the range of this deviation, potential bounds – if any and the effect it can have on the required capital. We attempt to measure this deviation initially for market risks focusing in this thesis on simplifications pertaining to the interest rate risk.
Subject :Solvency Capital Requirement (SCR)
Insurance undertakings
Market risks
Date :2015
Licence :

File: Tsitsika_2015.pdf

Type: application/pdf