Risk Models for Capital Adequacy: Applications in the Context of Solvency II and Beyond

Peter Liebwein ()
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Peter Liebwein: Swiss Re Germany AG, Dieselstraße 11, Unterföhring bei München, München 85774, Germany.

The Geneva Papers on Risk and Insurance - Issues and Practice, 2006, vol. 31, issue 3, 528-550

Abstract: In the context of the quantitative requirements under pillar 1 of Solvency II, internal risk models quantify a specific company's risk position, that is, measure the risk capital it requires. Because the individual insurance company's situation is modelled, its risk landscape is reflected more accurately than if a standard model approach were used. A brief case study indicates that internal risk models should be used not only to fulfill regulatory requirements, they have to and they do feature more benefits: risk models foster risk management processes; therefore, they are capable of supporting risk-based business decisions. Finally, they constitute a kernel for any risk-based performance measurement framework. The Geneva Papers (2006) 31, 528–550. doi:10.1057/palgrave.gpp.2510095

Date: 2006
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