Solvency II Seminar, Dec 2012

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).

Topics include:

  • 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) .

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