From Principle-Based Risk Management to Solvency ... - Scor

Prefaces
In an international well diversified reinsurance company, the ability to model
properly the different types of risks is central for the strategic management
and the key business decision processes.
SCOR has put this modelling skill at the heart of its organisation and is
actively developing a coherent and complete Enterprise Risk Management
framework based on its internal modelling capabilities.
Diversification of risks and optimal capital allocation are key for our company
and has been central during the elaboration of the strategic Dynamic
Lift Plan. The diversification of risks has been one of the main triggers for
the mergers with Revios in 2006 and Converium in 2007.
SCOR’s own way in the development of appropriate tools and sound
methodology has been fertilized through the intense development of academic
papers and practical developments on capital allocation and risk measurement
in regard with the new European insurance regulation schemes,
namely the Swiss Solvency Test in Switzerland and the Solvency II project
in the European Union.
The merger with Converium gave to the SCOR Group the benefit of
all the studies, actuarial, financial and information technology investments
implemented in order to fulfill all the requirements of the Swiss Solvency
Test regulation. It offers to the entire Group the opportunity of acquiring a
concrete experience of the implementation of the Asset Liabilities Management
process in line with the Solvency II project in 2012.
For the sake of transparency, it has been decided to disclose the entire
documentation regarding the methodologies used for the needs of financial
and risks modelling. It is the main reason for the publication of this book
which is a testimony of the talent and the skill of the teams in charge and
which will give to any expert the possibility to understand the way SCOR
has chosen to take into account every risk and the dependencies between
risks.
iv