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Risk Models for Capital Adequacy: Applications in the Context of Solvency II and Beyond

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  • Peter Liebwein

    (Swiss Re Germany AG, Dieselstraße 11)

Abstract

In the context of the quantitative requirements under pillar 1 of Solvency II, internal risk models quantify a specific company's risk position, that is, measure the risk capital it requires. Because the individual insurance company's situation is modelled, its risk landscape is reflected more accurately than if a standard model approach were used. A brief case study indicates that internal risk models should be used not only to fulfill regulatory requirements, they have to and they do feature more benefits: risk models foster risk management processes; therefore, they are capable of supporting risk-based business decisions. Finally, they constitute a kernel for any risk-based performance measurement framework.

Suggested Citation

  • Peter Liebwein, 2006. "Risk Models for Capital Adequacy: Applications in the Context of Solvency II and Beyond," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 31(3), pages 528-550, July.
    • Handle: RePEc:pal:gpprii:v:31:y:2006:i:3:d:10.1057_palgrave.gpp.2510095
    DOI: 10.1057/palgrave.gpp.2510095
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