CEIOPS' Advice for Level 2 Implementing Measures on Solvency II ...
Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2...
Transcript of Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2...
![Page 1: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/1.jpg)
1
Solvency II
Project update & Groupe Consultatif initiatives
Thomas BEHAR,
Président de l’Institut des actuaires
Hyderabad, 9:05 – 9:45
14 novembre 2009
![Page 2: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/2.jpg)
2
Solvency II
Project update
![Page 3: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/3.jpg)
3
Solvency II Directive : General Agenda
![Page 4: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/4.jpg)
4
Vote of level 1 text
3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU Commission : several thousands pages to analyse Calculation of MCR (minimum Capital requirement) and SCR (solvency capital requirement) :
standard formula & partial or global internal models, equity & dampener risk measurement, correlations
Calculation of Technical Provision (TP) : best estimate and risk margin, asumptions, discount rates
Valuation of assets, liquidity question in ALM Governance of undertakings : role & responsabilities of actuaries, standard setting, … Group and solo approaches
Quantitative impact studies QIS 5 after QIS 4 : Testing the impacts of calibration : Commission different from the last CEIOPS increasing
demands ? Preparing undertakings to the new framework
Stress tests for 30 major European insurance groups
Beginning of level 3 works for CEIOPS : waiting for internal model preapplication
Pension funds outside the scope for the moment but not too far
2009-2010
![Page 5: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/5.jpg)
5
CP26 - Technical Provisions - Methods and statistical techniques for calculating the best estimate
CP27 - Technical Provisions – Segmentation
CP28 - SCR Standard Formula - Counterparty default risk
CP29 - Own Funds - Criteria for supervisory approval of ancillary own funds
CP30 - Technical Provisions - Treatement of Future Premiums
CP31 - SCR Standard Formula - Allowance of financial mitigation techniques
CP32 - Technical Provisions - Assumptions about future management actions
CP33 - System of Governance
CP34 - Transparency and Accountability
CP35 - Valuation of Assets and "other Liabilities«
CP36 - Special Purpose Vehicles
CP37 - Procedure to be followed for the approval of an Internal Model
1st wave of consultation : March – June 2009
![Page 6: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/6.jpg)
6
Addendum to CP 37 – Procedure to be followed for the approval of a group internal model
CP39 - Technical Provisions - Best Estimate CP40 - Technical Provisions - Risk Free Interest Rate
CP41 - Technical Provisions - Calculation as a whole CP42 - Risk Margin
CP43 - Technical Provisions - Standards for Data Quality
CP44 - Technical Provisions - Counterparty Default Adjustment
CP45 - Technical Provisions – Simplifications CP46 - Own Funds - Classification and Eligibility
CP47 - SCR Standard Formula - Market Risk
CP48 - SCR Standard Formula - Non-life Underwriting Risk
CP49 - SCR Standard Formula - Life Underwriting Risk
CP50 - SCR Standard Formula - Health Underwriting Risk
CP51 - SCR Standard Formula - Counterparty Default Risk
CP52 - SCR Standard Formula - Reinsurance Mitigation
CP53 - SCR Standard Formula - Operational Risk
CP54 - SCR Standard Formula - Loss Absorbing Capacity of Technical Provisions
CP55 - MCR calculation CP56 - Tests and Standards for Internal Model Approval
CP57 - Capital add-on CP58 - Supervisory Reporting and Disclosure
CP59 - Renumeration Issues CP60 - Group Solvency Assessment
CP61 - Intra-group Transactions and Risk Concentration
CP62 - Cooperation and Colleges of Supervisors
2nd wave of consultation : July – September 2009
![Page 7: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/7.jpg)
7
CP63 Repackaged loans investment
CP64 Extension of the recovery period - Pillar II dampener
CP65 Partial internal models
CP66 Group solvency for groups with centralised risk management
CP67 SCR Standard Formula and Own Funds - Treatment of Participations
CP68 SCR Standard Formula and Own Funds - Treatment of Ring Fenced Funds
CP69 SCR Standard Formula – Design of the Equity Risk Sub-Module
CP70 SCR Standard Formula – Calibration of Market Risk
CP71 SCR Standard Formula – Calibration of Non-Life Underwriting Risk
CP72 SCR Standard Formula – Calibration of Health Underwriting Risk
CP73 MCR – Calibration
CP74 SCR Standard Formula – Correlation Parameters
CP75 SCR Standard Formula – Undertaking Specific Parameters
CP76 Technical Provisions – Simplifications
CP77 SCR Standard Formula – Simplifications
CP79 Simplifications for captives
3rd wave of consultation : November - December 2009
![Page 8: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/8.jpg)
8
New rules of reporting
New rules of asset and liability valuations
New rules of capital requirement and use of internal models
New rules of governance
Some contents of the new rules
![Page 9: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/9.jpg)
9
Solvency II Directive : New rules of reporting (CP 58)
A high burden for undertakings because of the details and the volume
A question of responsability and consistency between reportings
![Page 10: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/10.jpg)
10
Asset valuation : market value
Liability valuation : Best estimate + risk margin for technical provisions
Risk margins calculated as cost of capital remuneration
Discussion about discount rate
Discussion about the lines of business
Discussion about diversification
Full balance sheet approach
New rules of asset and liability valuations
![Page 11: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/11.jpg)
11
New rules of the Solvency Capital Requirement : 99,5% in 1 year
![Page 12: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/12.jpg)
1212
Conférence SOLVABILITE II
Cohérence entre les différents besoins
GROUP VISION
TECHNICALPROVISIONS
Overall consistency
MCR / SCR / ECONOMIC CAPITAL
RISK
STRATEGYPERFORMANCE
GOVERNANCEINTERNAL CONTROL
ACCOUNTING REPORTING
MULTISTANDARD RECONCILIATION
ASSETSASSET LIABILITY
MANAGEMENT
MCEV
VALUE
A new world for insurance actuaries : actuaries everywhere ?
![Page 13: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/13.jpg)
1313
Supply / data storage input models
INTERNAL MODEL or STANDARD FORMULA
BE / RM / SCR / MCEV / IFRS 4
INVESTMENT DATA TECHNICALDATA
ACCOUNTINGDATA MULTISTANDARD
ACCOUNTING
ACCOUNTING CONSOLIDATON
REPORTING
FINANCIAL DATA : RISK, VALUE & ACCOUNTING
PRUDENTIAL CONSOLIDATION
AUDIT TRAIL / RECONCILIATION / ADMINISTRATION QUALITY / REFERENCES
FORECAST
Evolution fonctionnelleTransforming the Financial IT : finding the right place for actuarial works and responsabilities
![Page 14: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/14.jpg)
14
Risk management function
Actuarial function
Internal auditing function
Internal control function
Compliance function
Solo and group function
New rules of governance
![Page 15: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/15.jpg)
15
Solvency II article 48 : the actuarial function
1) Insurance and reinsurance undertakings shall provide for an effective actuarial function to undertake the following:
• a) To coordinate the calculation of technical provisions;• b) To ensure the appropriateness of the methodologies and underlying models used as well as the
assumptions made in the calculation of technical provisions;• c) To assess the sufficiency and quality of the data used in the calculation of technical provisions;• d) To compare best estimates against experience;• e) To inform the administrative or management body of the reliability and adequacy of the
calculation of technical provisions;• f) To oversee the calculation of technical provisions in the cases set out in Article 81;• g) To express an opinion on the overall underwriting policy;• h) To express an opinion on the adequacy of reinsurance arrangements;• i) To contribute to the effective implementation of the risk management system referred to in
Article 43, in particular with respect to the risk modelling underlying the calculation of the capital requirements set out in Chapter VI, Sections 4 and 5 and the assessment referred to in Article 44.
2) The actuarial function shall be carried out by persons who have knowledge of actuarial and financial mathematics, commensurate with the nature, scale and complexity of the risks inherent in the business of the insurance or reinsurance undertaking, and who are able to demonstrate their relevant experience with applicable professional and other standards.
![Page 16: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/16.jpg)
16
Actuarial function level 2 text : final advice from CEIOPS
(…), it is incumbent upon the undertaking to make sure that persons charged with actuarial tasks have the relevant qualifications, experience and knowledge of applicable standards. CEIOPS does not envisage a specific university degree or training as a prerequisite for adequately fulfilling the actuarial function; in particular a person carrying out the relevant tasks does not need to acquire the occupational title of “actuary” in jurisdictions where such a title is available. The actuarial function requires an understanding of the stochastic nature of insurance and the risks inherent in assets and liabilities, including the risk of a mismatch between assets and liabilities, as well as an understanding of the use of statistical models.
CEIOPS may develop Level 3 guidance on how any appointed actuary interacts with the responsibilities of the Actuarial Function
The process of developing the European actuarial guidelines shall involve participants with appropriate knowledge and experience of actuarial issues and should represent in balanced proportions the insurance industry, the actuarial profession and the academic community.
In forming and formulating its own actuarial view the actuarial function shall be objective and free from influence of other functions and the administrative, management or supervisory body.
![Page 17: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/17.jpg)
17
Actuarial function level 2 text : final advice from CEIOPS
The actuarial function shall at least annually produce written reports to be submitted to the administrative, management or supervisory body. The reports shall document the tasks that have been undertaken, clearly state any shortcomings identified and give recommendations as to how the deficiencies could be remedied.
For the purpose of ensuring a convergent implementation of Solvency II and a harmonised performance of the actuarial function, European actuarial guidelines shall be developed. CEIOPS shall issue such European actuarial guidelines with respect to the actuarial methodologies and techniques to be used in determining technical provisions. These shall at least focus on the issues that are necessary for supervisory purposes.
The process of developing the above referred European actuarial guidelines shall be transparent and include the approval/endorsement by CEIOPS of the guidelines developed by the relevant expert groups and professional bodies, following a period of public consultation.
The process of developing the European actuarial guidelines shall involve participants with appropriate knowledge and experience of actuarial issues and shall represent in balanced proportions the insurance industry, the actuarial profession and the academic community.
![Page 18: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/18.jpg)
18
1. Insurance and reinsurance undertakings shall have in place an effective RM system comprising strategies, processes and reporting procedures necessary to identify, measure, monitor, manage and report, on a continuous basis the risks, on an individual and aggregated level, to which they are or could be exposed, and their interdependencies. That RM system shall be effective and well integrated into the organisational structure and in the decision making processes of the insurance or reinsurance undertaking with proper consideration of the persons who effectively run the undertaking or have other key functions.
2. The RM system shall cover the risks to be included in the calculation of the SCR (…) as well as the risks which are not or not fully included in the calculation thereof. It shall cover at least the following areas:
(a) Underwriting and reserving; (b) Asset-liability management;(c) Investment, in particular derivatives and similar commitments;(d) Liquidity and concentration risk management(da) Operational RM (e) Reinsurance and other risk mitigation techniques.
The written policy on RM (…) shall comprise policies relating to points (a) to (e) (…).
Solvency II article 44 : the risk management (RM)
![Page 19: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/19.jpg)
19
3. As regards investment risk, insurance and reinsurance undertakings shall demonstrate that they comply (…).
4. Insurance and reinsurance undertakings shall provide for a RM function which shall be structured in such a way as to facilitate the implementation of the RM system.
5. For insurance and reinsurance undertakings using a partial or full internal model approved (…) the RM function shall cover the following additional tasks:
a) to design and implement the internal model; b) to test and validate the internal model; c) to document the internal model and any subsequent changes made to it;d) to inform the administrative or management body about the performance of the internal
model, suggesting areas needing improvement, and up-dating that body on the status of efforts to improve previously identified weaknesses;
e) to analyse the performance of the internal model and to produce summary reports thereof.
Solvency II article 44 : the risk management (RM)
![Page 20: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/20.jpg)
20
1. As part of its risk management system every insurance or reinsurance undertaking shall conduct its ORSA. That assessment shall include at least the following: a) the overall solvency needs taking into account the specific risk profile, approved risk tolerance
limits and the business strategy of the undertaking; b) the compliance, on a continuous basis, with the capital requirements (…), with the
requirements regarding technical provisions (…); c) the significance with which the risk profile of the undertaking concerned deviates from the
assumptions underlying the SCR (…), calculated with the standard formula (…) or with its partial or full internal model (…).
2. (…) the undertaking concerned shall have in place processes, which are proportionate to the nature, scale and complexity of the risks inherent to its business, and which enable it to properly identify and assess the risks it faces in the short and long term and to which it is or could be exposed. The undertaking shall demonstrate the methods used in this assessment.
3. (…) when an internal model is used, the assessment shall be performed together with the recalibration that transforms the internal risk numbers into the SCR risk measure and calibration.
Solvency II article 45 : own risk and solvency assessment(ORSA)
![Page 21: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/21.jpg)
21
4. The ORSA shall be an integral part of the business strategy and shall be taken into account on an ongoing basis in the strategic decisions of the undertaking.
5. Insurance and reinsurance undertakings shall perform the assessment (…) regularly and without any delay following any significant change in their risk profile.
6. The insurance and reinsurance undertakings shall inform the supervisory authorities of the results of each ORSA as part of the information reported (…).
6a. The ORSA shall not serve to calculate a capital requirement. (…)
Solvency II article 45 : own risk and solvency assessment(ORSA)
![Page 22: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/22.jpg)
22
Group functions (CP 66)
Risk Management (RM) Function• The ultimate parent undertaking should provide for a RM function at group level, which is
equipped with competent personal resources and adequate systems. The establishment and tasks of the RM function at group level should be in line with the solo requirements (…).
Own Risk and Solvency Assessment (ORSA)• The ultimate parent undertaking should develop an appropriate ORSA process at group level
and undertake at the level of the group this assessment (…).
Actuarial Function• In line with the requirements for solo undertakings, a group actuarial function should be
established at group level. In line with the solo requirements (…), the group actuarial function has to assess the general suitability of the methodologies or underlying models for the calculation of technical provisions used within the group and ensure consistency. Moreover, the consideration and treatment of group specific risks has to be accounted for by the group actuarial function.
![Page 23: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/23.jpg)
23
Solvency II
Groupe Consultatif initiatives
![Page 24: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/24.jpg)
24
The Groupe Consultatif Actuariel Europeen The Groupe Consultatif Actuariel Européen was established in 1978
It represents actuarial associations in the countries of the European Union.
Its purpose is to provide advice and opinions to the various organisations of the European Union (EU) - the Commission, the Council of Ministers, the European Parliament, CEIOPS and their various committees – on actuarial issues in European legislation.
The Groupe currently has 35 member associations in 32 countries, representing over 16,000 actuaries.
The actuarial associations in 24 of the 25 Member States of the European Union (Malta does not yet have an actuarial association) are currently members of the Groupe, along with associations in EEA countries, Switzerland, and a number of EU candidate states.
![Page 25: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/25.jpg)
25
The Groupe Consultatif Actuariel Europeen Through its Core Syllabus for actuarial education, Mutual Recognition Agreement, and code of
professional conduct, the Groupe has in place a robust governance framework which ensures the objectivity, integrity and independence of actuaries.
Advice and comments provided by the Groupe on behalf of the European actuarial profession are totally independent of industry interests.
The Groupe regularly publishes, via its web site (http://www.gcactuaries.org), surveys amongst its member associations on issues of topical relevance in pensions, insurance and investment and financial risk.
The Groupe is in links with the UE institutions, the CEIOPS, the Industry associations (CEA, CRO Forum, Amice).
The Solvency 2 project team, chaired by Seamus Creedon, is divided into 5 teams with 50 actuaries at all : Pillar 1 (life), Pillar 1 (non life), Pillar 5 (Pillar 2 & Pillar 3), Groups, Internal models. It answers to the CPs.
![Page 26: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/26.jpg)
26
Actuarial Standard Task Force
Establishment of an Actuarial standard task force (ASTF)• Created in March 2009 by the Groupe Consultatif• Chaired by Chris Daykin (UK), with T. Béhar, S. Creedon, J. Fialka, Ad Kok, M. de Nazaré Barroso, U.
Orbanz, M. Peraita, J. Rantala, M. Lucas, • First proposals in Lille in September 2009, adopted by the Groupe Consultatif
In response to Solvency 2 Consultation• Article 47(2) of the Solvency 2 Directive : persons carrying out the actuarial function needing to
“demonstrate their relevant experience with applicable professional and other standards”. • Section 3.6 of the CEIOPS consultation paper CP33 on Level 2
3 options for the actuarial function according to CEIOPS• Option 1: The function should use technical standards developed by CEIOPS on Level 3.• Option 2: The function should rely on technical standards that are widely accepted in the industry and
the profession.• Option 3: The function should rely on European technical standards to be developed and endorsed by a
body of representatives of different stakeholders, including CEIOPS.
Responses from stakeholders to CEIOPS CP33 touched on 4 main themes in relation to professional standards:
• scope, i.e. they should not be limited to technical standards alone;• the need for ownership of standards by a wide range of stakeholders;• standards should evolve and should build on best practice in respect of existing standards• they should be consistent with global standards
![Page 27: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/27.jpg)
27
Actuarial Standard Task Force
European existing standards• The ASTF carried out a survey of existing standards in place throughout the EU. Some
general conclusions which may be drawn from the survey.
• ethical standards are in place which follow the Groupe’s Code of Conduct;
• standards and national practices are very diverse;
• standards are typically linked to local legislation/regulation;
• the majority of existing standards are principles-based, with only a few being rules-based;
• most associations would prefer technical standards to be principles-based;
• many existing standards are issued by the national regulator, a few by local associations;
• legitimacy through national law varies, but compliance requires support by the regulator.
![Page 28: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/28.jpg)
28
European Actuarial Standards : nature and scope
Public interest standards• qualification standards : a minimum education syllabus, demonstration of practical experience and
mandatory continuing education requirements• ethical standards : a subset of the Groupe Consultatif Code of Conduct, cover matters such as
competence, integrity, objectivity, confidentiality and avoidance of conflicts• governance standards : concern the relationship between the actuarial function-holder, senior
management, the Board of the undertaking, other functions within the regulated undertaking and external stakeholders, checking and quality control of work, speaking up in case of serious concerns and protection for those who do speak up
• communication standards : explanation of the purpose and scope of any report, comprehensibility, completeness, transparency, independence and accountability
Technical standards would include• interpretative standards : more the responsibility of CEIOPS and national supervisory authorities but
there may be a need for some form of interpretative facility, such as access to discussion groups, frequently asked questions, etc. and possibly a standing committee to moderate and guide such discussions.
• technical implementation standards : principles-based, rather than detailed and prescriptive
![Page 29: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/29.jpg)
29
European Actuarial Standards : the role of the Groupe
The standard-setting and implementation process will have a number of different stages:• Drafting• Exposure to stakeholders• Redrafting and finalising• Endorsing• Monitoring• Enforcing standards and applying sanctions in case of non-compliance• Keeping the standards up-to-date
The Groupe Consultatif offers the regulatory authorities to play a major role in some parts of the process : see the following flow-chart.
![Page 30: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/30.jpg)
30
European Actuarial Standards : the role of the Groupe
![Page 31: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/31.jpg)
31
We have been warned!
![Page 32: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/32.jpg)
32
COMMENTS
Ready for discussions, questions and comments !
![Page 33: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/33.jpg)
33
Annex
Solvency II
Project update & Groupe Consultatif initiatives
Thomas BEHAR,
Président de l’Institut des actuaires
Hyderabad, 9:05 – 9:45
14 novembre 2009
![Page 34: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/34.jpg)
34
Consultation paper – 1st wave : contents
CP-26-09 Draft L2 Advice on TP - Methods and statistical techniques for calculating the best estimate
• This consultation paper aims at providing advice with regard to actuarial and statistical methodologies for the calculation of the best estimate as requested in Article 85 (a) of the Level 1 text.
CP-27-09 Draft L2 Advice on TP - Segmentation • This consultation paper aims at providing advice with regard to the lines of business on the
basis of which insurance and reinsurance obligations are to be segmented in order to calculate technical provisions as requested in Article 85(e) of the Level 1 text. The advice covers the minimum level of segmentation – ie. lines of business - that undertakings need to consider when calculating their technical provisions.
CP-28-09 Draft L2 Advice on SCR Standard Formula -Counterparty default risk • This consultation paper aims at providing advice with regard to the treatment of
counterparty default risk in the standard formula for the Solvency Capital Requirement as requested in Article 109 of the Level 1 text. The objective of this paper is to give draft advice on the scope of the module and the calculation of the capital requirement for counterparty default risk.
![Page 35: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/35.jpg)
35
Consultation paper – 1st wave : contents
CP-29-09 Draft L2 Advice on Own Funds - Criteria for supervisory approval of ancillary own funds
• This consultation paper aims at providing advice with regard to supervisory approval of ancillary own funds as requested in Article 92 of Level 1 text. The objective of the paper is to provide a framework that specifies the criteria for granting supervisory approval.
CP-30-09 Draft L2 Advice on TP -Treatment of Future Premiums • This consultation paper aims at providing advice with regard to the treatment of future
premiums in the assessment of technical provisions as requested in Article 85 of the Level 1 text. The advice covers the recognition of an insurance or reinsurance obligation as well as on the boundaries of these obligations.
CP-31-09 Draft L2 Advice on SCR Standard Formula - Allowance of financial mitigation techniques
• This consultation paper aims at providing advice with regard to financial mitigation techniques as requested in Article 109(1), letter f), of the Level 1 text. This advice develops the qualitative treatment of financial mitigation techniques.
![Page 36: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/36.jpg)
36
Consultation paper – 1st wave : contents
CP-32-09 Draft L2 Advice on TP - Assumptions about Future management actions • This consultation paper aims at providing advice with regard to the use of management
actions in the assessment of the technical provisions as requested in Article 85a of the Level 1 text. The objective of the paper is to propose a framework which identifies the circumstances in which it is appropriate for undertakings to take account of future management actions in the calculation of their technical provisions.
CP-33-09 Draft L2 Advice on System of Governance • This Consultation Paper aims at providing advice for Level 2 measures with regard to the
System of Governance as requested in Article 49 of the Level 1 text. It also includes material that could be considered for the future when developing Level 3 guidance. The text covers the most important issues to be regulated to ensure appropriate governance standards within insurance and reinsurance undertakings.
CP-34-09 Draft L2 Advice on Transparency and Accountability • This Consultation Paper aims at providing advice for Level 2 measures with regard to
Transparency and Accountability, as requested in Article 30 of the Level 1 text, which provides that “the supervisory authorities shall conduct their tasks in a transparent and accountable manner with due respect for the protection of confidential information”. It also presents some ideas as to how the accessibility of information could be improved through Level 3 guidance.
![Page 37: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/37.jpg)
37
Consultation paper – 1st wave : contents
CP-35-09 Draft L2 Advice on Valuation of Assets and “Other Liabilities” • This Consultation Paper aims at providing advice for Level 2 implementing measures with
regard to the valuation of assets and liabilities other than technical provisions in accordance with Article 74 of the Level 1 text.
CP-36-09 Draft L2 Advice on Special Purpose Vehicles • This Consultation Paper aims at providing advice for Level 2 measures with regard to Special
Purpose Vehicles (SPVs), as required in Article 209 of the Level 1 text. The advice addresses the authorisation, regulatory requirements and scope of supervisory review that relate to the establishment of SPVs under Solvency II. It also includes material that could be considered for Level 3 guidance.
CP-37-09 Draft L2 Advice on the procedure to be followed for the approval of an internal model
• This Consultation Paper aims at providing advice for Level 2 implementing measures with regard to the procedure to be followed for the approval of an internal model” in accordance with Article 112(1) of the Level 1 text. Specificities related to the approval of group internal models as set out in Article 229 of the Level 1 text will be provided as an addendum to this Consultation Paper later in 2009.
![Page 38: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/38.jpg)
38
Consultation paper – 2nd wave : contents
Addendum to CP-37-09 Draft L2 Advice on the procedure to be followed for the approval of a group internal model
• This addendum aims at providing advice for Level 2 implementing measures with regard to the procedure to be followed for the approval of a group internal model in accordance with Articles 112(1) and Article 229 of the Level 1 text.
CP-39-09 Draft L2 Advice TP - Best Estimate• This consultation paper aims at providing advice with regard to actuarial and statistical
methodologies for the calculation of the best estimate as requested in Article 85 (a) of the Level 1 text. A first part of the advice on this Article has been released for consultation on 26 March 2009. The objective of this paper is to further elaborate on the appropriate methodologies for the calculation of the best estimate.
CP-40-09 Draft L2 Advice on TP – Risk free interest rate• This consultation paper aims at providing advice with regard to the relevant riskfree interest
rate term structure to be used in the assessment of technical provisions as requested in Article 85 (b) of the Level 1 text.
CP-41-09 Draft L2 Advice TP – Calculation as a whole• This consultation paper aims at providing advice with regard to the circumstances in which
technical provisions shall be calculated as a whole (and not as a sum of a best estimate and a risk margin), as required in Article 85c of the Level 1 text.
![Page 39: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/39.jpg)
39
Consultation paper – 2nd wave : contents
CP-42-09 Draft L2 Advice – Risk Margin• This consultation paper aims at providing advice with regard to the calculation of the risk
margin as requested in Article 85(d) of the Level 1 text. The objective of this paper is to specify the overall structure of the calculation of the risk margin, including the following aspects: - the definition of the reference undertaking, including the assumption this undertaking has to fulfil; - the stipulation (calibration) of the Cost-of-Capital rate; and - the projection of the future SCRs related to the reference undertaking.
CP-43-09 Draft L2 Advice on TP – Standards for data quality• This consultation paper aims at providing advice with regard to the standards that should be
met with respect to ensuring the appropriateness, completeness and accuracy of the data used in the calculation of technical provisions, and with the specific circumstances in which it would be appropriate to use approximations, as requested in Article 85 (f) of the Level 1 text.
CP-44-09 Draft L2 Advice on TP – Counterparty default adjustment• This consultation paper aims at providing advice with regard to the methods to be used
when calculating the counterparty default adjustment to recoverables from reinsurance contracts and special purpose vehicles as requested in Article 85(g) of the Level 1 text.
![Page 40: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/40.jpg)
40
Consultation paper – 2nd wave : contents
CP-45-09 Draft L2 Advice on TP – Simplifications• This consultation paper aims at providing advice with regard to simplified methods and
techniques to calculate technical provisions in order to ensure that actuarial and statistical methodologies are proportionate to the nature, scale and complexity of the risks, as requested in Article 85(h) of the Level 1 text Concrete simplifications will be consulted upon in a third set of advice.
CP-46-09 Draft L2 Advice on Own funds – Classification and eligibility• This consultation paper aims at providing advice with regard to the classification of own
funds (Article 97) and the eligibility of own funds (Article 99) in the Level 1 text
CP-47-09 Draft L2 Advice on SCR Standard Formula – Market Risk• This consultation paper aims at providing advice with regard to the design and structure of
the market risk module of the SCR standard formula, as required by Article 109 of the Level 1 text. The objective of this paper is to give draft advice on the structure and design of interest rate risk, spread risk, currency risk, property risk and concentration risk sub-modules. The equity risk sub-module, the calibration of the modules (except concentration risk) and correlations will be covered in the third set of advice, together with advice on potential simplified approaches in the light of the proportionality principle.
![Page 41: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/41.jpg)
41
Consultation paper – 2nd wave : contents CP-48-09 Draft L2 Advice on SCR Standard Formula – Non-Life underwriting risk
• This consultation paper covers advice in respect of the design of the non-life underwriting risk module in the SCR standard formula, in particular the methods, assumptions and standard parameters to be used when calculating this risk module, as required in Article 109 (c) of the Level 1 text. Calibration of the module, the use of undertaking–specific parameters, correlations and simplifications will be included in the third set of advice.
CP-49-09 Draft L2 Advice on SCR Standard Formula – Life underwriting risk• This consultation paper aims at providing advice with regard to the design, structure and
calibration of the life underwriting module in the SCR standard formula as requested in Article 109 of the Level 1 text. Calibration of the module, correlations and simplifications will be included in the third set of advice.
CP-50-09 Draft L2 Advice on SCR Standard Formula – Health underwriting risk• This consultation paper aims at providing advice with regard to the health underwriting risk
module in the in the SCR standard formula as requested in Article 109 of the Level 1 text. Calibration of the module, correlations and simplifications will be included in the third set of advice.
CP-51-09 Draft L2 Advice on SCR Standard Formula – Counterparty Default risk• This consultation paper aims at providing further advice with regard to the treatment of
counterparty default risk in the SCR standard formula as requested in Article 109 of the Level 1 text. This consultation paper complements CEIOPS’ Consultation Paper No. 28.TPF
![Page 42: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/42.jpg)
42
Consultation paper – 2nd wave : contents
CP-52-09 Draft L2 Advice on SCR Standard Formula – Reinsurance mitigation• This consultation paper covers the advice in respect of the qualitative criteria that
reinsurance and securitisation arrangements must meet in order to ensure that there has been effective underwriting risk transfer to a third party, for allowance in the SCR standard formula. The paper is complementary to the draft advice CP 31.
CP-53-09 Draft L2 Advice on SCR Standard Formula – Operational Risk• This consultation paper aims at providing advice with regard operational risk in the SCR
standard formula, as required in Article 109(1) of the Level 1 text.
CP-54-09 Draft L2 Advice on SCR Standard Formula – loss absorbing capacity of TP• This consultation paper aims at providing advice with regard to the calculation of the
adjustment for loss-absorbing capacity of technical provisions in the SCR standard formula as requested in Article 109 (g) of the Level 1 text.
CP-55-09 Draft L2 Advice on SCR Standard Formula – MCR Calculation• This consultation paper aims at providing advice with regard to the calculation of the
Minimum Capital Requirement (MCR) as requested in Article 128 of the Level 1 text. Calibration of the module will be included in the third set of advice.
![Page 43: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/43.jpg)
43
Consultation paper – 2nd wave : contents CP-56-09 Draft L2 Advice on Tests and Standards for Internal Model Approval
• This consultation paper aims at providing advice with regard to the use test, statistical quality, calibration, P&L attribution, validation, documentation and external models and data, as requested in Article 125 of the Level 1 text. It also includes draft advice with regard to specificities for Internal Models on the System of Governance and specificities related to the requirements for approval of group internal models are included. Specific requirements for the approval of a partial internal model will be included in the third set of advice.
CP-57-09 Draft L2 Advice on Capital add-on• This consultation paper aims at providing advice for Level 2 measures with regard to the
power to set a capital add-on as provided for in Article 37 of the general approach on the Level 1 text. According to Article 37(6) of the Level 1 text the European Commission shall adopt implementing measures laying down further specifications for the circumstances under which a capital add-on may be imposed and the methodologies for the calculation thereof. The advice also develops the requirements for setting a capital add-on in a group context, further to Article 232 of the Level 1 text.
CP-58-09 Draft L2 Advice on Supervisory reporting and disclosure• This consultation paper aims at providing advice with regard to supervisory reporting and
public disclosure, as requested in Article 35(6), Article 55 and Article 260 of the Level 1 text, along with supporting material that could be used to develop Level 3 guidance.
![Page 44: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/44.jpg)
44
Consultation paper – 2nd wave : contents CP-59-09 Draft L2 Advice on remuneration
• A consultation paper will be released in due course providing additional, standalone, advice with regard to remuneration issues. It will serve as a basis for implementing measures on this specific issue in the framework of Art. 49 of the Level 1 text.
CP-60-09 Draft L2 Advice on Group Solvency Assessment• This consultation paper aims at providing advice with regard to the technical principles
and methods set out in Article 218 to 227 and the application of Articles 228 to 231 as requested in Article 232 of the Level 1 text. The advice covers the scope of the group solvency assessment and the calculation methods. It includes advice on assessment of available elements of own funds, including the fungibility and transferability of own funds. The advice also addresses issues related to third country entities and/or groups.
CP-61-09 Draft L2 Advice on intra-group transactions and risk concentration• As a lesson to be learned from the crisis, this consultation paper aims at providing advice
with regard to the important role risk concentration and intra-group transactions can play in the financial well-being of a group. This own initiative paper develops CEIOPS initial views on the supervision of these aspects under Solvency II, including suggestions for Level 3 guidance and, potentially, for the development of Level 2 implementing measures if requested by the European Commission.
CP-62-09 Draft L2 Advice on Cooperation and Colleges of supervisors• This consultation paper aims at providing advice with regard to the coordination of group
supervision along with supporting material that could be used to develop Level 3 guidance as requested in Articles 252 (3) and 253 (2) of the Level 1 text.
![Page 45: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/45.jpg)
45
Consultation paper – 3rd wave : contents
CP63/09 Draft L2 Advice on repackaged loans investment • This Paper aims at providing advice for Level 2 measures with regard to investments in
repackaged loans or similar financial arrangements as required by Article 135 of the Level 1 text. The aim of the implementing measure is to ensure cross-sectoral consistency and remove any potential misalignment of interests between the originators (the companies issuing the financial instrument) and investors in such financial instruments.
CP-64/09 Draft L2 Advice on the extension of the recovery period – Pillar II dampener
• This Paper aims at providing advice for Level 2 measures with regard to the extension of the recovery period by the supervisory authority, in the event of an exceptional fall in financial markets, in cases where the Solvency Capital Requirement of an undertaking is no longer complied with, as required in Articles 143 in conjunction with Article 138 of the Level 1 text.
CP-65/09 Draft L2 Advice on partial internal models• This Paper aims at providing advice to take account of the limited scope of the application of
the partial internal model as requested in Article 112.2 of the Level 1 text. It addresses the scope of partial internal models, specific provisions for the approval of partial internal models, and in particular how results of partial internal models may be integrated into the results of the standard formula. Furthermore, the Paper contains advice on the concept of major business unit, the integration of risks not covered in the standard formula and adaptations to be made to standards set out in Articles 118 to 123.
![Page 46: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/46.jpg)
46
Consultation paper – 3rd wave : contents
CP-66/09 Draft L2 Advice on the group solvency for groups with centralised risk management
• This Paper aims at providing advice for Level 2 measures with regard to the group solvency for groups with centralised risk management as requested by Article 245 of the Solvency II Level 1 text. The Paper differentiates between centralised risk management on the one hand and group-wide risk management, including consistent implementation of the risk management in all undertakings forming part of a group, on the other hand.
CP-67/09 Draft L2 Advice on SCR Standard Formula and Own Funds - Treatment of Participations
• This Paper aims at providing advice with regard to the solo treatment of participations in credit and financial institutions for the determination of own funds and the approach to be used with respect to related undertakings in the calculation of the SCR, in particular the equity risk sub-module of the SCR, as requested by Article 92 and 109(ja).
CP-68/09 Draft L2 Advice on SCR Standard Formula and Own Funds - Treatment of Ring Fenced Funds
• This Paper aims at providing advice with regard to the adjustments that should be made to reflect the lack of transferability of own funds and the reduced scope for risk diversification at the level of the SCR related to ring-fenced funds, as requested in Articles 99 b) and 109(1) (fa) of the Solvency II Level 1 text.
![Page 47: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/47.jpg)
47
Consultation paper – 3rd wave : contents
CP-69/09 Draft L2 Advice on SCR Standard Formula – Design of the Equity Risk Sub-Module
• This Paper aims at providing advice with regard to the design and calibration of the equity risk sub-module as requested in Article 109(b) of the Solvency II Level 1 text. It includes advice on the symmetric adjustment mechanism according to Article 105a and the duration dampener foreseen by Article 305b of the Level 1 text.
CP-70/09 Draft L2 Advice on SCR Standard Formula – Calibration of Market Risk• This Paper aims at providing advice with regard to the calibration of the market risk module for the
SCR standard formula, as requested by Article 109(b) of the Solvency II Level 1 text. This Paper follows CP47 which was published in June 2009, and for which the consultation period closed on 11 September 2009. This Paper gives draft advice on the calibration of the interest rate risk, spread risk, currency risk and property risk. The calibration of the concentration risk submodule has already been covered in former CP47. The calibration of the equity risk sub-module and the correlations between the market risk sub-modules and between the market risk module and other modules are being covered in separate Consultation Papers (CP69 and CP74).
CP-71/09 Draft L2 Advice on SCR Standard Formula – Calibration of Non-Life Underwriting Risk
• This Paper aims at providing advice in respect of the calibration of the non-life underwriting risk module for the SCR standard formula, as requested by Article 109(b) of the Solvency II Level 1 text. CEIOPS will provide further advice on the calibration of catastrophe Standardised Scenarios under the non-life catastrophe risk sub-module in the course of 2010. The Advice should be read in conjunction with previous advice consulted upon in former CP48.
![Page 48: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/48.jpg)
48
Consultation paper – 3rd wave : contents
CP-72/09 Draft L2 Advice on SCR Standard Formula – Calibration of Health Underwriting Risk
• This Paper aims at providing advice with regard to the calibration of the health underwriting risk module as requested by Article 109(b) of the Solvency II Level 1 text. CEIOPS will provide further advice on the Standardised Scenarios required under the SLT Health catastrophe risk sub-module and the non-SLT Health catastrophe risk sub-module in the course of 2010. The Advice should be read in conjunction with previous advice consulted upon in CP50.
CP-73/09 Draft L2 Advice on MCR – Calibration• This Paper aims at providing advice with regard to the calculation of the Minimum Capital
Requirement (MCR) as requested in Article 128 of the Solvency II Level 1 text. This Paper follows CP55 which was released for consultation in July 2009. It gives draft advice on the calibration of the MCR, in particular on the calibration of the linear function referred to in Article 127(1b) of the Level 1 text.
CP-74/09 Draft L2 Advice on SCR Standard Formula – Correlation Parameters• This Paper aims at providing advice with regard to the choice of the correlation parameters
applied in the SCR standard formula to aggregate capital requirements on module and sub-module level as requested in Article 109(1c) of the Solvency II Level 1 text.
![Page 49: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/49.jpg)
49
Consultation paper – 3rd wave : contents
CP-75/09 Draft L2 Advice on SCR Standard Formula – Undertaking Specific Parameters
• This Paper provides advice as requested by Articles 109(1) (h) and (i) of the Solvency II Level 1 text with regard to the subset of standard parameters in the life, non-life and health underwriting risk modules that may be replaced by undertaking-specific parameters. The Paper covers the standardised methods to be used by a (re)insurance undertaking to calculate those undertaking-specific parameters, and the criteria for supervisory approval relating to the completeness, accuracy and appropriateness of the data. The Paper should be read in conjunction with advice on which CEIOPS consulted in CP43, CP48, CP49 and CP50.
CP-76/09 Draft L2 Advice on Technical Provisions – Simplifications• This Paper aims at providing advice with regard to simplified methods and techniques to
calculate technical provisions in order to ensure that actuarial and statistical methodologies are proportionate to the nature, scale and complexity of the risks, as requested in Article 85(h) of the Solvency II Level 1 text. The advice integrates previous advice on which CEIOPS consulted in CP45, hence part of the advice has been finalised following previous consultation. For this reason, stakeholders are asked not to comment on the paragraphs identified in the introduction of the Paper. This Paper should be read in conjunction with the advice on which CEIOPS consulted in CP39 and CP43.
![Page 50: Solvency II - International Actuarial Association · 4 Vote of level 1 text 3 waves of level 2 consultation : proposed by CEIOPS, opinion by stakeholders, decision by States and EU](https://reader034.fdocuments.us/reader034/viewer/2022042223/5ec9f69724434c598f2b8291/html5/thumbnails/50.jpg)
50
Consultation paper – 3rd wave : contents
CP-77/09 Draft L2 Advice on SCR Standard Formula – Simplifications• This Paper aims at providing advice with regard to simplified calculations for specific sub-
modules and risk modules as well as the criteria the (re)insurance undertakings shall be required to meet in order to be entitled to use the simplifications, as requested in Article 109(j) of the Solvency II Level 1 text.
CP-79/09 Draft L2 Advice on simplifications for captives• This Paper aims at providing advice with regard to simplified calculations for the calculation
of the solvency capital requirement for captives, as requested in Article 109 (j) of the Solvency II Level 1 text. It elaborates on possible simplifications for the calculation of the solvency capital requirement for captives, due to their specific business model.