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Erschienen in: European Actuarial Journal 1/2018

28.05.2018 | Original Research Paper

Defining principles of a robust insurance solvency regime

verfasst von: René Schnieper

Erschienen in: European Actuarial Journal | Ausgabe 1/2018

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Abstract

The article deals with the fundamental features of a solvency regime: valuation and risk modelling. The paper argues that for solvency testing purposes the valuation method of choice is market consistent valuation. Statutory valuation based on historical costs is at best irrelevant and possibly misleading in the case of a compulsory winding up of a company and of forced sales of assets. As far as risk modelling is concerned, it is argued that stress tests and scenarios have an important role to play. They can complement or replace stochastic risk models. They have in particular the advantage of enabling an effective involvement of senior managers and Board members in the company’s quantitative risk management. It is argued that supervisors could use two co-existing models for solvency testing purposes: a probabilistic model and a set of scenarios based Solvency Capital Requirements. The paper draws on the experience of the EU regulatory authorities, CEIOPS and EIOPA, with the development of Solvency II. It also draws on the experience of FINMA, the Swiss supervisory authority, with the implementation of the Swiss Solvency Test. Finally, it takes into account the lessons of the Japanese life insurance crisis from 1997 to 2001.

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Glossar
EIOPA
European Insurance and Occupational Pension Authority
CEIOPS
Predecessor Organisation of EIOPA
FINMA
Finanzmarktaufsicht, Swiss financial market supervisor
SST
Swiss Solvency Test
Literatur
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Zurück zum Zitat Swiss National Bank (2014) Implementing the Countercyclical Capital Buffer in Switzerland, February 2014 Swiss National Bank (2014) Implementing the Countercyclical Capital Buffer in Switzerland, February 2014
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Zurück zum Zitat Rebonato R (2010) Coherent stress testing, a Bayesian approach to the analysis of financial stress. Wiley, OxfordMATH Rebonato R (2010) Coherent stress testing, a Bayesian approach to the analysis of financial stress. Wiley, OxfordMATH
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Zurück zum Zitat Cont R, Schaanning E (2016) Fire sales, indirect contagion and systemic stress-testing. Norges Bank Working Paper 2/2017 Cont R, Schaanning E (2016) Fire sales, indirect contagion and systemic stress-testing. Norges Bank Working Paper 2/2017
Metadaten
Titel
Defining principles of a robust insurance solvency regime
verfasst von
René Schnieper
Publikationsdatum
28.05.2018
Verlag
Springer Berlin Heidelberg
Erschienen in
European Actuarial Journal / Ausgabe 1/2018
Print ISSN: 2190-9733
Elektronische ISSN: 2190-9741
DOI
https://doi.org/10.1007/s13385-018-0169-3

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