Posts Tagged ‘QIS 5’



October 9th, 2012

Comparing Solvency II Standard Scenarios for Windstorms with Catastrophe Model Outcomes – Updated Study: Part II

Posted at 1:00 AM ET

David Lightfoot, Head of GC Analytics® - International, Eddy Vanbeneden, Head of GC Analytics - Continental Europe and Markus Mueller, GC Analytics, Solvency II Continental Europe
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Benchmarking QIS5 Scenario Return Period against Vendor Models

Our analysis supports the fact that losses in the QIS5 windstorm scenarios are often within the range of the major vendor models. But how do return frequencies compare? The QIS5 standard scenarios are tailored to represent a 200 year return period in each territory. Looking at the QIS5 loss estimate on the modeled exceedance probability curves reveals the corresponding modeled return period. Plotting the implied vendor model return frequencies against the QIS5 scenarios’ 1-in-200 year level yields an interesting (albeit similar) spread, as shown in Table 1.

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October 8th, 2012

Comparing Solvency II Standard Scenarios for Windstorms with Catastrophe Model Outcomes – Updated Study: Part I

Posted at 1:00 AM ET

David Lightfoot, Head of GC Analytics® - International, Eddy Vanbeneden, Head of GC Analytics - Continental Europe and Markus Mueller, GC Analytics, Solvency II Continental Europe
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With the generalized use of catastrophe models to measure the natural catastrophe exposure of insurance portfolios, the outcomes of these models have more and more influence in the determination of reinsurance needs. With the introduction of the Solvency II regime, the decision on reinsurance purchase should also be an integral part of a company’s risk management process. Specifically, an important consideration is the impact of reinsurance contracts on the Solvency Capital Ratio, a key decision metric of the risk management process. This process is not always easy when the probable maximum losses (PMLs) derived by the cat models differ from the standard European scenarios under Solvency II for calculation of the Solvency Capital Requirement for cat risk (SCRCat).

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January 30th, 2012

January 2012 Reinsurance Renewal: Benelux

Posted at 1:00 AM ET

Primary insurance premium rates increased in the Benelux private sector between 2 percent and 5 percent, though the reasons differed for the various classes of business and territories. In Belgium residential property, for example, minor winter and summer storms in 2010 and 2011 as well as some small floods, led to unsatisfactory results. In the Netherlands, Belgium and Luxemburg motor insurers had to cope with unsatisfactory results because of increased losses.

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October 20th, 2011

Solvency II Timeline: The QIS 5 and Stress Test Results, Driving the Delay

Posted at 1:00 AM ET

A great deal of attention this year has been focused on determining the practical effects of Solvency II once it is put into effect. In March 2011 the results of QIS 5 were released. EIOPA launched a three-month Solvency II stress test shortly thereafter. Both events shed light on the real-world implications of the new regime, raised issues that should be addressed before it goes into effect and, in large part, sparked the debate that is likely to lead to a delay in its implementation.

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October 19th, 2011

Timeline: Transitioning to Solvency II

Posted at 1:00 AM ET

As is often the case with pan-European legislation, the implementation timeframe for Solvency II has generated a great deal of debate and discussion - and what had been a firm January 2013 go-live date now looks increasingly unlikely. It appears at this point that the new regulations will be phased in, and enforcement is likely to be postponed by a year. Such a delay would buy some welcome time for companies that are behind in their Solvency II preparations - but is being opposed by others who say it will add more costs to an already expensive preparation process.

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October 17th, 2011

Solvency II: Assessing Counterparty Default Risk

Posted at 1:00 AM ET

Counterparty default risk is one of the core components of the SCR. This module has undergone substantial change over the several quantitative impact studies, as the supervisors attempted to find an appropriate measure of the risk. In the QIS 5 final report, EIOPA noted that this module received the most criticism for the “overly complex approach” relative to the materiality of counterparty default risk within the overall risk-based capital requirement (1). We expect to see additional changes that will simplify the calculation of risk.

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October 12th, 2011

Impact of Solvency II on Primary Insurance Companies: Challenges and Opportunities, Part I

Posted at 1:00 AM ET

It is clear that Solvency II presents a host of challenges to (re)insurers. Below we explore in detail some of the key considerations, challenges and opportunities associated with Solvency II.

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October 6th, 2011

Solvency II’s Impact on the Reinsurance Market: Drawbacks and Risks

Posted at 1:00 AM ET

Capital Requirements and the Costs of Compliance are Discriminately Higher for Smaller Reinsurers and Will Force Some Consolidation

Large, diversified and highly-rated reinsurance groups with approved internal capital models will likely have materially lower capital requirements under Solvency II than they already maintain for their ratings. For these reinsurers, rating agencies will remain the final arbiters of capital requirements, while Solvency II will add administrative and regulatory cost and, perversely, encourage a lower standard of solvency. So far, rating agencies have resisted the demand to materially reduce capital requirements, with S&P granting only a limited weight to internal economic capital models in their assessment of risk adjusted capitalization (1).

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October 5th, 2011

Solvency II: Changing the Game

Posted at 1:00 AM ET

Changing regulatory requirements have remained high on the industry agenda this year, with particular attention focused on Solvency II. Despite its nominally European focus, Solvency II presents a wide range of considerations - and opportunities - to insurance entities worldwide. This new regulatory framework will enact a fundamental change in the way the European insurance industry looks at risk and risk management practices, mandating sweeping changes to capital requirements, corporate governance programs and disclosure practices. All businesses that have operations, subsidiaries or affiliates in Europe, write coverage in Europe or do business with insurers in Europe should be preparing now for these wide-ranging changes.

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