Answers to the European Commission on the ... - Eiopa - Europa

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• analysed and moni<strong>to</strong>red individually and in aggregate; • moni<strong>to</strong>red and managed in an integrated manner with similar risks arising from non-derivative activities so that exposures can be regularly assessed on a consolidated basis. 148
Call for Advice No. 13 Quantitative Impact Study and data related issues Extract from <strong>the</strong> Call for Advice: This Call for Advice will require careful planning and effective execution as it is very challenging from technical, resource and timing points of views. The following issues have <strong>to</strong> be addressed while opting for <strong>the</strong> most appropriate solutions: • Data definitions • Data requirements and collection (having regard <strong>to</strong> present differences in asset liability valuation) and standardised reporting • Comparability and quality data – acceptable approximation • Sample sizes • Scenarios <strong>to</strong> be tested • Organization of work, co-operation issues • Planning for progressively more sophisticated and comprehensive approaches <strong>to</strong> field testing • Specific implementation issues concerning SMEs • Analysis of possible procyclical effects and measures <strong>to</strong> reduce <strong>the</strong>m (e.g. how <strong>to</strong> build buffers over and above <strong>the</strong> required amount of SCR, cf. <strong>the</strong> solvency control level Call for Advice) The objective is <strong>to</strong> assess <strong>the</strong> economic consequences of <strong>the</strong> Solvency II project in <strong>the</strong> EU, including <strong>the</strong> impact on <strong>the</strong> insurance industry (cost of capital, cost-benefit analysis, international competitiveness), <strong>the</strong> financial markets (market efficiency, systemic risk ect.) and <strong>the</strong> policyholders (cost-benefit analysis – especially regarding different confidence levels and time horizon assumptions, implications on product availability and prices). The <strong>Commission</strong> Services request CEIOPS <strong>to</strong> contribute <strong>to</strong> <strong>the</strong> organization, coordination and performance of <strong>the</strong> simulations so that <strong>the</strong> set time goals can be respected. These quantitative impact studies should include analysis and guidance on SMEs and procyclicality issues (<strong>the</strong>se areas will be addressed by separate Specific Calls for Advice still <strong>to</strong> be issued). 149
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CEIOPS-DOC-07/05 Answers</s
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Style convention The following has
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• Safety measures (CfA 9); • So
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sole purpose is to
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Call for Advice No. 7 Technical pro
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one year). Therefore, capital requi
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perhaps through an explicit additio
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Discounting 7.22 The present value
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exposed to risk fr
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insurance liabilities set by refere
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Profit sharing In practice, for uni
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future cash flows will have <strong
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Explanatory text S
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always have resources to</s
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developed. They would help
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8.28 A fourth option could be envis
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In principle, "the
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8.48 Three alternatives can be cons
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essential part of the</stro
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statistical estimate (with a level
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8.77 It may be argued that
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to use more sophis
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consequence on the
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8.105 In some cases, the</s
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This shall be reviewed, at least an
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ut the exposure <s
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Explanatory text M
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9.15 Solvency II could also employ
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9.28 The life formula yields itself
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underestimate them
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'Prudent person plus' approach 9.52
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Uniform or different rules for tech
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through a prescribed list. Lists ar
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addition a range of stresses so tha
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(including the Rei
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for review of the
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eligibility criteria, or principles
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should not lead to
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• the degree of
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9.156 The senior management shall r
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- going-concern aspects of business
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features. 81 TailVaR is an example
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10.17 The SCR should also reflect <
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10.26 The risk of asset liability m
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Naturally, the pra
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too few categories
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- Choice of volume measures 10.57 W
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Underwriting risk in non-life insur
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Page 159 and 160: Background 14.1 Current insurance D
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• the developmen
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asis for considering improvements <
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(I) Regulatory arb
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(II) Capital requirements at group
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into a SCR at grou
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18.31 Additionally, it must be deci
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Capital requirements 18.39 The Fram
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(III) Supervisory Review Process of
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18.60 In view of the</stron
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new structure would need to
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future Framework Directive. CEIOPS
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18.94 Model validation in t
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the assumptions us
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Annexes Annex A (Call for Advice No
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pursuing a strategy which t
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Specific principles for non-life in
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Conformity, suitability and suffici
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• existence of significant insuff
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A.64 In the tests
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the rules on <stro
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TVaR1-α for Tail Value-at-risk. In
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Degree of personalisation B.24 Tran
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B.34 There are two approaches <stro
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Segmentation B.44 In general terms,
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technical technical technical techn
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B.61 The second alternative was cho
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Dutch supervisory authority for <st
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Market risk Equity risk this altern
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B.95 In a scenario-based approach,
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B.106 As an alternative one could t
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where: KTSA = the
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Results from the a
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Solvency ratio prior to</st
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Number of instances Risk group Deta
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Conclusion In general, the<
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where: TP gross = technical provisi
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premium risk, the
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“While proportional reinsurance t
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contribute with any additional info
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E.29 Another way <
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programmes on the
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