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Capital Models and Solvency

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CONCEPTS
KEY
1
INTRODUCTION TO SOLVENCY II
2
TECHNICAL SOLVENCY MODEL
3
EQUITY AND CAPITAL COVERAGE
4
OPERATIONAL, INTANGIBLE, MARKET AND COUNTERPARTY RIS
5
VALUATION OF TECHNICAL LIFE PROVISIONS
6
NON-LIFE TECHNICAL PROVISIONS ASSESSMENT
7
HEALTH RISK
8
LIFE RISK
9
NON-LIFE RISK
10
MCR (MINIMUM CAPITAL REQUIREMENT)

Information

OBJECTIVES

  • Understanding Solvency II purpose.

  • Defining economic capital.

  • Calculating economic capital.

  • Valuing assets and liabilities at fair value.

  • Calculate the risks foreseen in Solvency II.

  • Differentiate between the standard model and the internal model

  • Comprehend the concept of Enterprise Risk Management.

  • Calculate operational risk.

  • Fit economic capital and Solvency II into insurance management.

MÓDULES

INTRODUCTION TO SOLVENCY II
  • Regulatory Background

  • Solvency 0, I and II

  • Financial Guarantee Scheme

TECHNICAL SOLVENCY MODEL
  • Assets and liabilities assessment for solvency purposes

  • Technical Provisions Assessment

  • Risk Margin

EQUITY AND CAPITAL COVERAGE
  • Specific criteria for financial holdings

  • Own Funds typology

  • Capital requirement coverage

OPERATIONAL, INTANGIBLE, MARKET AND COUNTERPARTY RISK
  • Operational Risk Capital Requirements

  • Capital adjustment for loss absorption

  • Modules of impact on Capital according to types of risk

VALUATION OF TECHNICAL LIFE PROVISIONS
  • Technical Provisions and Best Estimates

  • Segmentation

  • Best Estimate Methodology

NON-LIFE TECHNICAL PROVISIONS ASSESSMENT
  • Segmentation

  • Best Estimate Methodology

  • Simplification and Reinsurance

HEALTH RISK
  • The concept of Life-like Techniques

  • Non-Lifetime Techniques Module

  • Catastrophic Risk in Non-Life Like Health

LIFE RISK
  • Capital Requirements

  • Biometric risks

  • Consistency with other Approaches

NON-LIFE RISK
  • Premium and reserve risk

  • Risk of falling portfolio

  • Non-Life Catastrophic Risk

MCR (MINIMUM CAPITAL REQUIREMENT)
  • Capital requirement limits

  • Minimum Non-Life Capital Calculation

  • Minimum Lifetime Capital Calculation

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