Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures

Balázs Mezőfi, Andras Niedermayer, Daniel Niedermayer and Balázs Márton Süli

Insurance: Mathematics and Economics, 2017, vol. 76, issue C, 164-171

Abstract: Depending on the current risk exposure of an insurance company, the impact of buying an additional unit of a fund on an insurer’s overall Solvency II capital charges, i.e., the Solvency Capital Requirement (SCR), will differ. We call this impact the fund’s SCR contribution and show in which boundaries it lies if only the fund’s aggregate sub-SCR figures are known but not the risk exposures of the insurance company buying the fund. The upper bound of this range, the worst-case SCR contribution, can be used as a conservative measure to assess funds’ Solvency II risk contributions or to assign them to different Solvency II risk categories. We believe that providing funds’ worst-case SCR contributions can be useful information to insurance companies when screening from a broad investment universe.

Keywords: Solvency II; Insurance companies; Funds; Solvency capital requirements; Worst-case analysis (search for similar items in EconPapers)
JEL-codes: C63 G12 G22 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:76:y:2017:i:c:p:164-171

DOI: 10.1016/j.insmatheco.2017.08.003

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