Solvency II framework iumi conference Copenhagen, 10 September 2007



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Solvency II Framework IUMI Conference

  • Copenhagen, 10 September 2007

  • Cosimo Turi Swiss Reinsurance Company


Global Regulatory Tendencies



Solvency II – aims of the projects



The 3 Pillar Approch to Solvency II



Pillar I: An economic view on assets, liabilities and risks



Pillar I: Solvency Capital Requirement (SCR)



Capital Adequacy

  • Comparing Solvency I and Solvency II positions

  • 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 –Current expectation on split of capital requirements



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

  • Supervisory disclosure

    • Risk Report
    • Losses under given scenarios
    • Valuation Methodology
    • Documentation of Risk Governance Processes
  • Public disclosure

    • not yet defined


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