August 30th, 2010

Guy Carpenter’s Financial Intelligence Team: Top Stories, 2010 Year to Date

Posted at 1:00 AM ET

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Here we highlight the top stories from Guy Carpenter’s Financial Intelligence Team that appeared on GCCapitalIdeas.com in 2010.

QIS5 - Premium and Reserve Risk: Sufficient Consideration of Non-proportional Reinsurance?  On July 6, 2010 the Committee of European Insurance and Occupational Pensions Supervisors published the technical specification for the latest Solvency II Quantitative Impact Study (QIS) 5. QIS5 is scheduled to be carried out from August to November of 2010, with a report summarizing the results scheduled for release in April of 2011. Regarding the non-life premium and reserve and risk, Guy Carpenter & Company, LLC has observed a return to capital requirements more in line with QIS4 and an implicit incentive for the use of an internal model.

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Solvency II - Non-Life Underwriting Risk in Light of QIS 5: On April 15th, 2010, the European Commission (EC) published its draft technical specifications for the next Quantitative Impact Study (QIS) 5, which will be implemented from August to November of 2010. Based on empirical evidence, the general calibration of the standard formula solvency capital requirement (SCR) may fall between the calibration of QIS 4 and the calibration seen in the rigid proposals of the various consultation papers (CP) submitted during 2009. This article takes a deeper look at the calibration of non-life underwriting risk as part of the overall SCR calculation.

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Solvency II - Approval of Internal Models:   The Committee of European Insurance and Occupational Pensions Supervisors (CEIOPS) published many consultation papers in 2009 focusing on Level 2 implementation measures for Solvency II. Consultation Paper (CP) 37 addressed the procedures for approval of internal models. It was followed by a final paper entitled “CEIOPS Advice for Level 2 Implementing Measures on Solvency II ‘The procedure to be followed for the approval of an internal model’”, published in October, 2009.

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