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These publication provides information on Munich Re’s positions on regulatory trends, related analysis and products.
|02/2015||Partial internal models – Techniques for integration into the standard formula
Currently, just a few European insurers intend to use a partial internal model, but we expect the importance of internal modeling to grow in the next few years. This paper provides information on regulatory and methodological aspects of partial models, adding practical examples.
|English (PDF, 538 KB)|
|01/2015||EIOPA publishes the results of the insurance stress test 2014
The insurance stress test of 2014 was about testing various stresses on given scenarios. In this knowledge series we describe the outcomes, the implications on the insurance industry and give a short outlook on the recommendations from EIOPA to the national supervisory authorities.
|English (PDF, 1 MB)|
|12/2014||Omnibus II agreement on long-term guarantee package and transitional measures
This paper discusses the measures as of October 2014 to mitigate the impact of short-term market movements with respect to insurance business of a long-term nature.
|English (PDF, 743 KB)|
|11/2014||Stress testing and scenario analysis: the ISA approach (Identification, Simulation, Assessment)
From a management perspective, understanding relevant stresses enables a company to act in advance, take preventive risk-mitigation decisions. Read more about the ISA approach.
|English (PDF, 374 KB)|
|10/2014||Stresses and scenarios in the context of ORSA
According to insurers’ specific risk profiles, techniques for forward-looking projections are gaining in importance within the context of regulatory stress tests and scenario analysis. This paper shows the process of a scenario analysis in detail.
|English (PDF, 1.9 MB)|
|08/2014||Economic projection and implications for management decisions
This paper discusses the concepts of multi-year projections of a company´s balance sheet and risk model and discusses how that information can be used for managing a company. That concept is also illustrated in a case study.
|English (PDF, 307 KB)|
|06/2014||Omnibus II brings more clarity: Transitional measures for own funds
This paper describes quantitative limits for eligible capital within Solvency II, explains the current status of transitional rules and discusses open questions.
|English (PDF, 460 KB)|
A standard model for non-life insurers
This tool and product can depict the main items in the Solvency II balance sheet, and the analyses forecast the effect of Non-life reinsurance in a multi-year view.
|English (PDF, 346 KB)|
|01/2014||Reinsurance in the economic balance sheet
This paper discusses the impact of reinsurance on an economic balance sheet. We clearly show that the financial strength of reinsurers is not only taken into account within the risk model, but also for accounting purposes.
|English (PDF, 940 KB)
German (PDF, 737 KB)
|01/2014||Reinsurance in capital management
Effect of reinsurance and tiering of own funds at insurers with little surplus capital
With the introduction of Solvency II, capital management becomes crucial to secure a company’s solvency situation. In that context, reinsurance serves as a capital tool – being very competitive against the issuance of new capital.
|English (PDF, 681 KB)|
|12/2013||“EIOPA’s view on the system of governance”
Recently, EIOPA published its reports on the guidelines on preparing for Solvency II. In this paper, we refer to selected aspects of the governance system. The new guidelines contain some improvements that will affect actual procedures, such as the role of risk management in senior-management decision-making.
|English (PDF, 557 KB)|
|12/2013||Introduction of a new risk-based capital framework in Singapore – Convergence or divergence in relation to Solvency II?
The risk based capital framework (RBC) for insurers in Singapore was introduced by the Monetary Authority of Singapore in 2004. This paper introduces the proposals suggested as well as the reactions from the industry and the Singapore Actuarial Society. Further, we will compare the proposals with the current status of Solvency II.
|English (PDF, 642 KB)|
|10/2013||Experience report: Four years working with PODRA
As the importance of Enterprise Risk Management grows, the modelling of underwriting risks is becoming crucial for non-life insurers. Quantification of all relevant risk drivers and depiction of risk transfer instruments such as reinsurance play a major role. Learn more about a holistic analytical view of risk at non-life insurers.
|English (PDF, 857 KB)
German (PDF, 719 KB)
|10/2013||EIOPA’s view on forward-looking assessment of own risks (FLAOR)
The “Forward Looking Assessment of Own Risks” is a new element of the final reports on the Guidelines on preparing for Solvency II published in September 2013. Our article gives a brief introduction to the concept and the background of FLAOR. Additionally, we look at the potential impact of current developments on risk management.
|English (PDF, 865 KB)|
|08/2013||EIOPA publishes the findings of the quantitative impact study on long-term guarantees
Our paper looks at the methodologies tested and the findings, and presents the resultant proposal from EIOPA. It also summarises reactions from the industry and associations and considers the next steps on the road to Solvency II's introduction.
|English (PDF, 868 KB)
German (PDF, 668 KB)
|03/2013||From strategic risk to risk strategy. Insurance scenarios for risk identification and business model innovation
How is risk strategy defined? What strategic scenarios are relevant? We show you how to broaden your risk culture.
|English (PDF, 231 KB)
German (PDF, 183 KB)
|02/2013||Key functions in the system of governance Responsibilities, interfaces and outsourcing under Solvency II
This article shows the range of requirements for the so called “key functions”: Risk management, compliance, internal audit and actuarial function.
|English (PDF, 261 KB)
German (PDF, 465 KB)
|12/2012||A partial model for life insurers: BRiSMA – stochastic modelling of biometric risks
The decision to use the standard model or to develop a partial or an internal model depends on many factors. The approach is consequently discussed with the client in the framework of a project and the analysis takes account of many aspects specific to the company.
|English (PDF, 629 KB)
German (PDF, 699 KB)
|09/2012||Cost of capital under Solvency II. Reinsurance and capital market instruments
This paper compares reinsurance and capital market instruments as ways of increasing a solvency ratio, focusing on a quantitative comparison of the costs of the two alternatives and qualitative aspects.
|English (PDF, 319 KB)|
|08/2012||ORSA – Own Risk and Solvency Assessment
Preparations can start
With the introduction of Solvency II, insurance companies must perform their own risk and solvency assessment (ORSA), which will become a significant component of their risk management system. EIOPA published 21 guidelines that companies can use as a basis for their preparations.
|English (PDF, 574 KB)
German (PDF, 578 KB)
|06/2012||Calculation of risk capital using “undertaking-specific parameters” under Solvency II
Are there alternatives to an internal model?
According to the current state of the debate on the implementing measures, for many lines of businesses it will only be possible to take account of non-proportional reinsurance treaties by using correction factors in the calculation of USPs. Companies should therefore consider the use of USPs.
|English (PDF, 218 KB)
German (PDF, 591 KB)
|09/2011||Will Solvency II give full recognition to third-country supervisory systems?
The ability to set up branches and freedom of services are important principles for the European single market. Recognition makes it clear how insurance contracts with insurance companies from third countries are to be treated.
|Englisch (PDF, 867 KB)
German (PDF, 866 KB)
|08/2011||Process risks for life insurers under Solvency II
In the context of Solvency II implementation, the regulatory requirements are focusing on the main processes, one of which is the underwriting process, a core component of new business in life.
|English (PDF, 950 KB)
German (PDF, 936 KB)
|08/2011||Treatment of technical provisions under Solvency II. Quantitative methods, qualitative requirements and disclosure obligations
Experience gained in QIS5 has demonstrated that the calculation of technical provisions is still causing problems for the insurance industry.
|English (PDF, 843 KB)
German (PDF, 849 KB)
|05/2011||Solvency II and catastrophe risks: Measurement approaches for property casualty Insurers – country-specific requirements or standard formula?
The QIS5 results indicate that European non-life insurers need to allocate around a quarter of their entire risk capital to catastrophe risks. The standard formula offers two different methodologies for calculation of risk capital needs.
|English (PDF, 382 KB)
German (PDF, 385 KB)
|04/2011||EIOPA publishes the results of the fifth quantitative impact study (QIS5). More adjustments to standard formula needed
QIS5 was probably the insurance industry’s last opportunity to test the total balance sheet approach and its implications, though it is likely that there will be further tests for individual valuation modules.
|English (PDF, 550 KB)
German (PDF, 558 KB)
|02/2011||Impact of reinsurance on risk capital
A practical example based on QIS5
Solvency II obliges companies to take a risk-based view of their operations as a whole. Sample calculations for a specimen company show that reinsurance remains the simplest and most flexible way for an insurer to manage its business on an economic basis.
|English (PDF, 1.1 MB)
German (PDF, 761 KB)
|11/2010||Solvency II and reinsurer ratings
The fifth quantitative impact study (QIS5) is likely to be the last official test of the current design and calibration of the standard formula across the whole of Europe. From an insurer’s perspective Solvency II may not lose sight of the real objective.
|English (PDF, 483 KB)
German (PDF, 480 KB)
|08/2010||Health Catastrophe Scenarios under Solvency II. A new and important risk is appearing in QIS 5
This paper provides a description of the methodology employed in the health module and sheds light on the inherent structure of catastrophe scenarios from an actuarial perspective.
|English (PDF, 500 KB)
German (PDF, 496 KB)
|08/2010||Will Solvency II give full recognition to non-EU supervision systems?
The European Commission expects CEIOPS to submit its first proposed implementing measures by the end of August 2010.
|English (PDF, 201 KB)
German (PDF, 203 KB)
|07/2010||From business strategy to limit system (part 2)
A case study of a property-casualty insurer
Following on from Part 1 of “From business strategy to limit system”, Part 2 uses a case study of an average European property/casualty insurer, LIMIT, to provide an illustration of the theory.
|English (PDF, 477 KB)
German (PDF, 481 KB)
|06/2010||From business strategy to limit system (part 1)
Introduction to the theory
Limit systems will play an important role under Solvency II. Therefore we introduce the following paper: Part 1 covers the generally abstract terminology and explains clearly how risk strategy, risk tolerance and limit system interact. Part 2, which will be released shortly, illustrates this interaction using a fictitious property insurer as an example.
|English (PDF, 384 KB)
German (PDF, 414 KB)
|04/2010||State Covers under Solvency II
Even if insurance solutions involving state covers (pool arrangements) restrict competition in the insurance market, an insurance market without such covers has now become inconceivable. The future supervisory regulations are therefore intended to ensure that all market solutions in the EU satisfy the basic principles of risk management.
|English (PDF, 320 KB)
German (PDF, 323 KB)
This publication is available exclusively to Munich Re clients. Please contact your Client Manager.