Copenhagen, 10 September 2007 Cosimo Turi Swiss Reinsurance Company
Global Regulatory Tendencies
Solvency II – aims of the projects
Pillar I: An economic view on assets, liabilities and risks
Pillar I: Solvency Capital Requirement (SCR)
Capital Adequacy A comparison of capital requirements and eligible elements is required under both frameworks The focus should not be on the required capital amounts but rather on the excess capital or capital adequacy ratios
Results of the Swiss Field Test 2005 SST introduced earlier as Solvency II (2008) first takeaways Field Test - The field test included all large and most mid-sized Swiss insurers as well as a number of smaller companies (~ 15 life, 15 nonlife and 15 health insurers)
- The participants of the field test comprise approx. 93% of the provision in life and approx 85% of premiums in nonlife
Key findings - Solvency II capital adequacy roughly in line with Solvency I capital adequacy (~10% -20% lower)
- The Statutory Solvency Ratio is only a weak predictor for the SST Solvency Ratio
- Financial market risk is often dominating (40%-80%)
- Workload to implement was bearable
Solvency II – Recognition of risk mitigation instruments
Pillar II: Risk management and supervisory control (The effectivness of) risk management (RM) and RM tools within a company are the focus of interest: - Senior management responsibility
- Risk Management Systems & controls
- Operational Risk
- Risk model, stress and scenario tests assumptions
- Documentation !!
Supervisory Process and intervention - Supervisory powers and measures (timing, extend, indicators etc)
- Coordination of supervisory measures, control (eg peer reviews)
- Role of external audit
- Intervention levels
Pillar III: Disclosure - Risk Report
- Losses under given scenarios
- Valuation Methodology
- Documentation of Risk Governance Processes
Public disclosure
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