Sandstrom Solvency

Models, Assessment and Regulation
Erscheinungsjahr 2005
ISBN: 978-1-4200-3488-2
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 448 Seiten

Until now there were no published analyses of the recent solvency work conducted in Europe, specifically the risk categories proposed by the International Actuarial Association (IAA). Answering the insurance industry's demand in the wake of the EU Solvency II project, Solvency: Models, Assessment and Regulation provides a concrete summary and review of solvency and inspires additional work in the field.

Following an introduction to the concept, the first section of the book provides a historical review of solvency, detailing solvency regulation and accounting within the EU. A review of the steps leading to Solvency II looks at accounting, supervision, the actuarial field, the first phase of Solvency II, international approaches to banking, and the solvency systems of 12 major nations.

The second section explores the current basis for solvency modeling, focusing on the valuation of assets and liabilities, dependency and various conservative approaches, as well as a baseline and benchmark approach. This section also provides examples of risk structure and the effects of diversification.

The final section discusses groups and internal modeling as it relates to EU Solvency II. It addresses insurance groups, financial conglomerates, reinsurance, the importance of internal modeling and stress testing, and the current state of the second phase of EU Solvency II.

Zielgruppe

Actuaries, supervisors, and regulators in the insurance industry, economists, accountants, financial and risk managers, and statisticians and mathematicians interested in insurance.

Autoren/Hrsg.

Sandstrom, Arne

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Bereichsspezifisches Management Kostenmanagement, Budgetierung
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen

Inhaltsverzeichnis

Introduction
General Outline of the Book
Organizations
A Selection of Solvency Readings

Solvency: What Is It?
In the 18th Century
What Does Solvency Mean?

PAST AND PRESENT: A HISTORICAL REVIEW AND DIFFERENT APPROACHES TO SOLVENCY

The European Union: Solvency 0 and Accounting
The Works of Campagne
Other Steps toward the First Directives
The Non-Life Directives (First, Second, and Third)
The Life Directives (First, Second, and Third)
Calculating the Solvency Margin for Non-Life Insurance
Business
The Insurance Accounting Directive (IAD)

The European Union: Solvency I
The Müller Report
Comments from Groupe Consultatif
The Solvency I Directives
Calculating the Solvency Margin for Non-Life Insurance
Business

Steps toward Solvency II:
Bank for International Settlements (BIS): The New Basel Capital
Accord
IASB: Toward a New Accounting System
IAIS: Insurance Principles and Guidelines
IAA: A Global Framework for Solvency Assessment
EU: Solvency II - Phase I

Steps toward Solvency II: 2
Australia
Canada
Denmark
Finland
The Netherlands
Singapore
Sweden
Switzerland
U.K.
U.S.
Some Other Systems
Summary of Different Systems

PRESENT: MODELING A STANDARD APPROACH

The Fundamental Ideas
A Model for the Solvency Assessment
Level of Capital Requirements
Risks and Diversification
Risk Measures

Valuations
Fair Value: Introduction
Purposes of Valuation
Best Estimate of Insurance Liability and Technical Provisions
Fair Value

Dependencies, Baseline, and Benchmark Models
Risk Measures
Assume Normality
Assume Nonnormality
Correlations between Risks: Different Levels of Conservatism
Parameters in a Factor-Based Model

One Example of Risk Categories and
Diversification
Insurance Risk
Market Risk
Credit Risk
Operational Risk
Liquidity Risk
Dependency

A Proposal for a Standard Approach: From Formula
to Spreadsheet
The Insurance Risk, CIR
Market Risk, CMR
Credit Risk, CCR
Operational Risk, COR
The Total Factor-Based Model
A Spreadsheet Approach
Parameter Estimates
An Example

PART C PRESENT AND FUTURE: EU SOLVENCY II - PHASE 2: GROUPS AND INTERNAL MODELING IN BRIEF

The European Union: Reinsurance, Insurance
Groups, and Financial Conglomerates
Reinsurance
Insurance Groups and Financial Conglomerates

The European Union: Solvency II - Phase II
Recommendations for the First Pillar
Recommendations for the Second Pillar
Recommendations for the Third Pillar
General Considerations
The First Wave of Requests (Pillar II)
The Second Wave of Requests Will Include the Following Issues
(Pillar I)
The Third Wave of Requests Will Include the Following Issues
(Pillar III)
A Brief Summary

Further Steps
Internal Models and Risk Management
Forecasting the Future and Risk Management

APPENDICES
Appendix A
A Proposal for a Standard Approach: One Step
toward Application
Insurance Risk
Market Risk
Credit Risk
Operational Risk

Appendix B
Insurance Classes
Non-Life Classes
Life Classes

Appendix C
From the Non-Life Directives
Solvency 0
Solvency I

Appendix D
From the Life Directives
Solvency 0
Solvency I

Appendix E
IAIS: Insurance Principles, Standards, and Guidelines
Principles
Standards
Guidances

Appendix F
From the Proposed Reinsurance Directive
Chapter 3: Rules Relating to the Solvency Margin and to the Guarantee
Fund

Appendix G
Annex I and Annex II in the Insurance Group
Directive
Annex I: Calculation of the Adjusted Solvency of Insurance
Undertakings
Annex II: Supplementary Supervision for Insurance Undertakings That
Are Subsidiaries of an Insurance Holding Company, a Reinsurance Undertaking or a Non-Member-Country Insurance Undertaking

Appendix H
From the Financial Conglomerates Directive
Amendments to the Non-Life Directive Made (EEC, 1973)
Amendments to the Life Directive (EEC, 1979)
Amendments to the Insurance Group Directive (COM, 1998)
Annex I: Capital Adequacy

Appendix I
Prudent Person Rule
Article 18: Investment Rules