We would like to take the opportunity to specify certain aspects of the risk-free interest rate term structure for QIS 5. This technical paper is set out in four sections to cover the aspects of the risk-free interest rate term structure as asked from the European Insurance CFO Forum and CRO Forum.
The CRO Forum welcomes the opportunity to comment this consultation paper on pre-application process for Internal Model. The timing for this paper is good as many supervisors are already starting a pre-application process and it will promote necessary harmonization. This paper is of high quality and the CRO Forum strongly supports CEIOPS in aiming for one unique pre-application process led by the lead/group supervisor in cooperation with the other supervisors concerned.
The CRO Forum welcomes the opportunity to contribute to the calibration of the standard formula through this paper on market risks. This document is a follow-up to our position papers published respectively last May: ‘Calibration Principles for the Solvency II Standard Formula”; and last December: ‘Calibration recommendation for the correlations in the Solvency II standard formula’.
The Emerging Risks Initiative releases today three papers on risks emerging in the insurance industry, namely: Environmental liabilities & biodiversity losses; Carbon nano tubes (CNT); and Workplace related stress. The papers identify elements of the changing risk landscape that may create new challenges for stakeholders such as public authorities as well as financial institutions like insurance providers.
There is need for an appropriate balance between controlling risk, ensuring practicability for issuers of these products and also respecting the principle of “freedom of investment” (priority: medium) The advice in this paper should be balanced between 2 important Principles in the Directive: “Prudent Person” (Art 132) and also “Freedom of Investment” (Art 133).
This document is a follow-up to our position paper published last May: ‘Calibration Principles for the Solvency II Standard Formula”. The paper provides our recommendation on the methodology to calibrate market risk correlation factors as well as a counterproposal for the correlation matrix as suggested by CEIOPS in its Consultation Paper n°74. The final chapter of this document also briefly addresses the correlations for non-market risk.
The CRO Forum's views on the consequences for Enterprise Risk Management and regulation in the insurance industry.
For a long time, many (re)insurance companies have realized the need for risk-based valuations and solvency capital measurement and have started developing internal economic capital models which suit their needs. This is without prompting from regulators and rating agencies. Why? Such models provide a common measurement basis across all risks (e.g. same methodology, time horizon, risk measure, level of confidence, etc.) and are a powerful tool for strategic decision-making, for example in capital allocation and pricing.
