Quantitative Solvency Requirements

Quantitative Solvency Requirements:
technical and capital provisions
Carlos Montalvo Rebuelta
Guayaquil, 23-IV-2012
Pilar 1
The foundation of
Solvency II
Supervision of solo
undertakings and groups
Pillar 1
Expected
losses
Unexpect
ed losses
Quantitative
requirements
Technical provisions
(BE and risk margin)
2 capital requirements
(MCR and SCR –
SF/IM)
Prudent person
investment rule
Own funds (3 tiers)
Total balance sheet
approach
Market-consistent
valuation
Approval of internal
models
Pillar 2
Qualitative
requirements
Internal control and risk
management (incl.
ORSA)
Supervisory review
process (qualit. & quant
- Add-ons)
Focus on firm’s
responsibility
Convergence of
supervisory practices
Pillar 3
Reporting
Supervisory reporting
Public disclosure
Market discipline
Convergence of
supervisory reporting
More pressure from
rating agencies, capital
markets
Cuando el dinero sale por la puerta,
el amor salta por la ventana!
Insurance liabilities
(Technical provisions)
Capital requirements
(Covered by own funds)
Flujos de entrada
Flujos de Salidas
Overall approach to solvency
assessment
The Solvency II balance sheet
Free assets
Own funds
Solvency Capital Requirement (SCR)
Minimum capital requirement (MCR)
Assets for covering
technical provisions
and SCR
Risk margin
Technical provisions
Best estimate
Fondos Propios
Circular por dentro de la carretera y evitar los baches
es la mejor opción para que el coche sobreviva al
siguiente kilometro, pero una adecuada
amortiguación es en todo caso necesaria.
MCR/SCR
Dime que coche tienes y por
donde piensas circular y te
diré los amortiguadores que
necesitas.
• No todos los baches se pueden evitar
99.5
• El coste de un sistema con “riesgo cero”
lo pagarían los tomadores
23 April 2012
9
Thank you
23 April 2012
10