We provide our solution to the Solvency II one-year risk horizon, SCR, Technical Provisions (TP) (Fair Value Liabilities), Market Value Margins (Risk Margins) for the aggregate of long tail LOBs.
The solution is non-recursive, non-circular, tractable and satisfies all the directives (requirements).
- IFRS4 requirements in respect of fungibility and ring-fencing
- Three types of correlations between LOBs
- How do we know if two LOBs have the same economic drivers?
- Is the economic inflation a principal driver of long tail liability calendar year trends?
The powerpoint presentation is available pdf here (3.17 MB) .