Solvency II and risk management on the base of an actuarial non-life data model

Solvency II and risk management on the base of an actuarial non-life data model


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Speaker(s): Maria Heep-Altiner

Over the last years, the non-life section of the German Actuarial Association has developed the "Feldafinger Brandkasse" as a non-life data model to be used freely for actuarial investigations that has been presentend at several places.

Complementary to this, the "IVW Private Lines" has been developed by the research group financial and actuarial risk management (FaRis) at the Cologne University of Applied Sciences in a cooperation with the University of Limerick as a (slightly) simpler non-life data model to be used by students where this model should cover as comprehensively as possible all relevant actuarial as well as economical aspects.

The data model of the "IVW Private Lines" contains all actuarial features to illustrate in a consistent way the three Solvency II pillars and their high interconnectedness. On the base of this data model, the following aspects can be illustrated:

  • Differences between the economic valuation approach required by Solvency II and other approaches where especially the MCEV valuation approach for a non-life insurer will also be provided.
  • Differences between the determination of the required capital by the predefined standard formula, by a partial internal model and by a full internal model.
  • The impact of the model results of pillar one to the subsequent pillars two (risk management and ORSA) and three (reporting and transparency).
  • The transparency of highly sensitive company information to the public via key indicators that can be derived by the publicly available QRT.

Illustrating the very complex interrelations between all pillars should be quite helpful for all actuaries or other practitioners working in environments with Solvency II interrelations. The model contains the complexity needed with respect to the interrelations, but it is not more complex than necessary. By the very illustrative way, a high practical value should be guaranteed.

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