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Risk-based solvency frameworks in a low interest rate environment

Le : 28/06/2016 10h30
Par : Michael Schmutz, University of Bern and Swiss Financial Market Supervisory Authority (FINMA)
Lieu : I 103
Lien web :
Résumé : Solvency II, in force since the beginning of this year, and the Swiss Solvency Test (SST), in force in Switzerland since 2011, seek to assess the financial health of insurance companies by quantifying capital adequacy based on a risk evaluation of the economic balance sheet modelled after one year. Companies can use their own economic capital models (internal models) for this evaluation, provided that the internal model has been approved by the insurance supervisor. The development and also the supervision of these models are complex and related to numerous challenges. These challenges are compounded by recent changes in the market environment leading to very low and even negative interest rates in many countries. This market environment is particularly difficult for life insurance companies offering capital guarantees so that many of them have started to take action, also triggering changes in their internal models. Some of the most important resulting challenges will be discussed, along with a number of attempts to tackle them. (dans le cadre du projet PANORisk)