Solvency II. However, there is evidence that the standard formula inaccurately reflects insurers’ risk situation and may … provide misleading steering incentives. In the second pillar, Solvency II requires insurers to perform a so-called “Own Risk … and Solvency Assessment” (ORSA). In their ORSA, insurers must establish their own risk measurement approaches, including …

Solvency II is a new risk-based framework for setting the capital requirements of European insurance companies, in … contribution to the solvency capital requirement, to provide insight in the risk allocation and the trade-off between return and … marginal risk. In addition we derive the optimal strategic asset allocation for an insurer that maximizes the expected return …

Historical evidence like the global financial crisis from 2007-09 highlights that sector concentration risk can play an … II consider only name concentration risk explicitly in their solvency capital requirements for asset concentration risk … and neglect sector concentration risk. We show by means of US insurers' asset holdings from 2009 to 2018 that substantial …

Identifying the relevant risk factors and their interdependence is central to understanding the risk exposures and … vulnerabilities of a financial institution. It is needed for risk management, solvency assessment and stress testing. We assemble a … unique dataset of risk factors relevant for insurers which are different than for banks, although they share exposure to …

in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …' and insurers' risk situations. In addition, we compare insurers' capital requirements under the proposed Solvency II …

in the banking industry. Especially life insurance companies could serve as CoCo bond holders as they are already the … insurance and study the effects of various types of bonds such as non-convertible bonds, write-down bonds and CoCos on banks …' and insurers' risk situations. In addition, we compare insurers' capital requirements under the proposed Solvency II …

European legislation for the prudential regulation of insurance and reinsurance sector has existed since the 1970s … represents a crucial modernization of European insurance regulation. Each of these regimes prescribes its own rules for the …

harmonizes insurance regulations in Europe, in order to reduce the risk of an insurer defaulting on its obligations and producing …With more than $50 trillion in assets worldwide, investment funds run by the insurance industry and pension system are … resilience. An alternative approach, set out in this paper, that is more attuned to the risk that a pension fund or life insurer …

The aim of this paper is to study optimal risk- and value-based management decisions regarding a non-life insurer … risk sensitivity based on the insurer's reported solvency status, which will be of great relevance under Solvency II. We … further investigate the impact of the risk-free interest rate, dependencies between assets and liabilities as well as …