Quantitative Market Risk Assessment for Insurance Companies

The business strategy, the underwriting policy, investment strategy of insurance companies and some external factors influence their ability to meet liabilities. risk management mechanism, based on regulatory requirements best expertise, should allow identify assess all significant risks, including market risk. purpose this research is comparing European Russian for capital calculation risks companies. methodological base comparison analysis different approaches interest rate, FX, real estate equity in accordance with Solvency II insurers or Regulation 710-P insurers. As a result, author has found compatibility regulations vary depending type question. Regulations diverge least when it comes FX yet most regards rate since Central Bank Russia accounted national peculiarities. Overall, results have practical value could be used by transition riskoriented regulation.