The Solvency II Square-Root Formula for Systematic Biometric Risk

Biometric Solvency Risk for Portfolios of General Life Contracts (II) The Markov Chain Approach

Solvency Capital Requirement for German Unit-Linked Insurance Products

Innovative life insurance products such as unit-linked life insurance, hybrid life insurance, and variable annuities are rapidly gaining popularity and becoming a major part of new business in Germany. However, since traditional life insurance products still dominate the portfolios of life insurance companies, discussions about the standard formula for determining the solvency capital requireme...

Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework

Insurance companies use conservative first order valuation bases to calculate insurance premiums and reserves. These valuation bases have a significant impact on the insurer’s solvency and on the premiums of the insurance products. Safety margins for systematic biometric and financial risk are in practice typically chosen as time-constant percentages on top of the best estimate transition inten...

The Impact of Reinsurance Strategies on Capital Requirements for Premium Risk in Insurance

New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency II and will come in force from 1 January 2016. These requirements, derived by a Standard Formula or an Internal Model, will be by far more risk-sensitive than the required solvency margin provided by the current legislation. In this regard, a Partial Internal Model for Premium R...

Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA

We explain why correlation crises may occur in insurance and finance. These phenomena are not taken into account in Solvency II standard formula. We show the importance of taking them into account in internal models or partial internal models. Given the variety of scenarios that could lead to correlation crises and their different potential impacts, we support the idea that ORSA (Own Risk and S...