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

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• types of derivatives contracts that are admitted (with limits), <strong>to</strong>ge<strong>the</strong>r with those that are prohibited or restricted. 9.149 The ALM policy should enable <strong>the</strong> undertaking <strong>to</strong>: • manage actively <strong>the</strong> gap between assets and liabilities according <strong>to</strong> <strong>the</strong> business objectives; • Reevaluate <strong>the</strong> underwriting and investment strategies. 9.150 The Board of Direc<strong>to</strong>rs shall assess <strong>the</strong> adequacy of <strong>the</strong> investment and asset liability policies at least annually, and when market or business conditions change significantly. Implementation of <strong>the</strong> policy 9.151 The investment and asset-liability policies shall be implemented in accordance with <strong>the</strong> procedures established in <strong>the</strong> investment plan. The investment plan shall define <strong>the</strong> procedures of implementation and control. 9.152 The investment plan shall clearly identify: • <strong>the</strong> way in which <strong>the</strong> investment policy shall be implemented namely, how <strong>the</strong> credit and liquidity risk mitigation policy is implemented; • how investment management interacts with overall risk management and internal control of <strong>the</strong> undertaking; • how market, credit, operational and liquidity risk mitigation policy is implemented. 9.153 The procedures must: • identify <strong>the</strong> chain of responsibilities; • define <strong>the</strong> process of approval, implementation and moni<strong>to</strong>ring of investment decisions; • define <strong>the</strong> frequency and format of internal reporting. 9.154 The investment plan shall ensure that <strong>the</strong> investment policy: • applies appropriate know-how and avoids any conflicts of interests; • is moni<strong>to</strong>red by persons o<strong>the</strong>r than those responsible for <strong>the</strong> implementation. 9.155 Insurers shall maintain adequate internal control procedures, e.g. management information systems, <strong>to</strong> moni<strong>to</strong>r <strong>the</strong> exposure <strong>to</strong> different types of investments risk. 78
9.156 The senior management shall reassess <strong>the</strong> investment plan and <strong>the</strong> adequacy of <strong>the</strong> procedures on an annual basis, or more often when appropriate. 9.157 The procedures adopted <strong>to</strong> implement and moni<strong>to</strong>r <strong>the</strong> investment policy shall be available for scrutiny by <strong>the</strong> supervisory authority. 9.158 The procedures adopted <strong>to</strong> implement and moni<strong>to</strong>r <strong>the</strong> investment policy shall be audited by an audi<strong>to</strong>r. 9.159 Any deviations from <strong>the</strong> investment policy (and <strong>the</strong> resulting exposure) shall be reported internally and, whenever materially relevant, shall be communicated <strong>to</strong> <strong>the</strong> Board of Direc<strong>to</strong>rs. Depending on <strong>the</strong> circumstances, <strong>the</strong> deviation should be corrected or <strong>the</strong> policy amended by <strong>the</strong> Board. Deviations should also be reported <strong>to</strong> <strong>the</strong> supervisory authority if <strong>the</strong>y materially affect <strong>the</strong> financial position of <strong>the</strong> undertaking, and a description of <strong>the</strong> measures that <strong>the</strong> insurance undertaking proposes <strong>to</strong> implement in order <strong>to</strong> resolve any detected situation and prevent future occurrences should be included. Unit-Linked (including index-linked) 9.160 In addition <strong>to</strong> <strong>the</strong> above, <strong>the</strong> investment policy (in line with footnote <strong>to</strong> para. 9.146), in <strong>the</strong> case of unit linked business, should be in accordance with <strong>the</strong> contractual obligations and <strong>the</strong> matching of assets and liabilities (See also para. 9.145). 79
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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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11.58 There should be few descripti
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of the SCR estimat
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equirements to imp
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Call for Advice No. 12 Reinsurance
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Reflection in technical provisions
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• provide an estimate of an under
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particular reinsurer(s)’ aggregat
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they auto<
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einsurer to <stron
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should be a reduction in risk regar
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Call for Advice No. 13 Quantitative
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• the process of
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• handling questions from insuran
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member countries and in the
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components of the
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Background 14.1 Current insurance D
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14.12 In order to
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groups in its answer to</st
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affected; • Impose restrictions o
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14.43 Regarding the</strong
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off all contracts; • to</
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Call for Advice No. 15 Solvency con
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Minimum capital requirement (MCR) D
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adjusted SCR. From a purely technic
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to be implemented.
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capital
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absolute floor (expressed in euros
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Bolkestein agreed to</stron
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16.14 Generally speaking, complianc
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appoint an additional person <stron
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16.28 It should also be noted that
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Time of application 16.41 The asses
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of the individual
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Background 17.1 This document aims
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Review Panel would be a permanent g
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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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Answers to the European Commission on the ... - Eiopa - Europa

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