New Findings from E. Dal Moro and Co-Authors Describe Advances in Actuarial Science (Probability Of Sufficiency Of Solvency Ii Reserve Risk Margins:…

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New Findings from E. Dal Moro and Co-Authors Describe Advances in Actuarial Science (Probability Of Sufficiency Of Solvency Ii Reserve Risk Margins: Practical Approximations)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators discuss new findings in Science - Actuarial Science. According to news reporting originating from Zurich, Switzerland, by VerticalNews correspondents, research stated, "The new Solvency II Directive and the upcoming IFRS 17 regime bring significant changes to current reporting of insurance entities, and particularly in relation to valuation of insurance liabilities. Insurers will be required to valuate their insurance liabilities on a risk-adjusted basis to allow for uncertainty inherent in cash flows that arise from the liability of insurance contracts."

Our news editors obtained a quote from the research, "Whilst most European-based insurers are expected to adopt the Cost of Capital approach to calculate reserve risk margin - the risk adjustment method commonly agreed under Solvency II and IFRS 17, there is one additional requirement of IFRS 17 to also disclose confidence level of the risk margin. Given there is no specific guidance on the calculation of confidence level, the purpose of this paper is to explore and examine practical ways of estimating the risk margin confidence level measured by Probability of Sufficiency (PoS). The paper provides some practical approximation formulae that would allow one to quickly estimate the implied PoS of Solvency II risk margin for a given non-life insurance liability, the risk profile of which is specified by the type and characteristics of the liability (e.g. type/nature of business, liability duration and convexity, etc.), which, in turn, are associated with the level of variability measured by Coefficient of Variation (CoV); t he degree of Skewness per unit of CoV; and the degree of Kurtosis per unit of CoV2."

According to the news editors, the research concluded: "The approximation formulae of PoS are derived for both the standalone class risk margin and the diversified risk margin at the portfolio level."

For more information on this research see: Probability Of Sufficiency Of Solvency Ii Reserve Risk Margins: Practical Approximations. Astin Bulletin, 2017;47(3):737-785. Astin Bulletin can be contacted at: Cambridge Univ Press, Edinburgh Bldg, Shaftesbury Rd, CB2 8RU Cambridge, England.

The news editors report that additional information may be obtained by contacting E. Dal Moro, SCOR 26 Gen Guisan Quai, Actuarial Reserving, CH-8022 Zurich, Switzerland.

Keywords for this news article include: Zurich, Switzerland, Europe, Actuarial Science, Science.