Capital Generation and Return Metrics in Europe
The disclosure of capital generation metrics that represent the change in a valuation metric over time (e.g., the growth in Solvency II Own Funds over a financial year) have become increasingly popular in recent years, with many firms disclosing a Solvency II earning metric or Solvency II Capital Generation metric on a regular basis. These metrics are useful for a variety of purposes, from benchmarking against competitors and understanding the stability of the drivers of capital generation to assessing the capacity for paying dividends and making distributions.
This presentation will outline the findings from their research in this field, which has focussed on the value metrics and capital generation and return measurement metrics used by European life (re)insurers. This session will:
- Provide an introduction to Solvency II-based valuation metrics and to capital generation and return metrics.
- Set out the results from a Milliman Mind model developed to calculate a range of Solvency II valuation metrics using public data, based on a sample of the largest insurance groups in Europe over a two-year period from year-end 2018 to year-end 2020.