Abstract

Solvency II Directive introduced a new framework in order to develop new risk management practices to manage risk and to define a minimum capital requirement. To this aim, Commission Delegated Regulation provided the final version of the Standard Formula. Capital requirement is obtained via a modular structure where each source of risk must be first measured and then aggregated under a linear correlation assumption. As results of main Quantitative Impact Studies have shown, Premium and Reserve risks represent a key driver for Non-Life insurers. In this regard, we focus here on the valuation of the capital requirement for this specific sub-module. Some inconsistencies of the approach provided by Solvency II will be highlighted. We show indeed that some assumptions of the Standard Formula may lead to an underestimation of the capital requirement for small insurers.
Lingua originaleEnglish
Titolo della pubblicazione ospiteInsurance Regulation in the European Union Solvency II and Beyond
EditorPierpaolo, Siri, Michele (Eds.) Marano
Pagine223-244
Numero di pagine22
Stato di pubblicazionePubblicato - 2017

Keywords

  • Solvency II
  • capital requirement
  • premium and reserve risk
  • size factor

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