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The Solvency II Handbook


Description: The Solvency II Handbook brings together some of the best known and most renowned experts in insurance risk management to provide a detailed examination of the main requirements and impacts of Solvency II to insurers and reinsurers.

Marcelo Cruz brings together highly regarded practitioners and academics working in the Solvency II area to provide a practical guide for implementing internal models – the focus of Pillar I and the area demanding greater attention in preparing for Solvency II. The book also gives practical examples for the key areas outlined throughout the three pillars of Solvency II, taking a close look at insurance risk, market risk, credit risk, liquidity risk and operational risk.

The Solvency II framework directive was approved in 2009 2Q by the European Parliament, and the insurance industry must now move quickly with their preparations to be compliant with this framework by 2012 3Q. As Solvency II allows insurers to use internally developed models for measuring risks for the first time, this is quite a challenge for these companies. Solvency II follows Basel II’s similar three-pillar structure, which will regulate risk measurement requirements, supervisor review and market discipline and disclosure. The demands for Solvency II are quite extensive and will change the insurance industry worldwide with better risk assessment and mitigation and much higher financial and risk disclosure details.

The Solvency II Handbook provides an introduction and deeper look into the Solvency II framework, exploring in detail the current practices within the insurance industry and the impact of Solvency II; looking at what the issues and challenges of building an internal model are, risk management implementation as it is and, crucially, the regulatory perspective on calculating solvency capital requirements. The book then moves onto explore in greater depth how to measure and manage financial risk, insurance risk, operational risk as well as providing key chapters on economic capital and hedging.

From now until 2012 the relevant regulatory bodies will be looking to govern and approve company’s internal models. This must-read book is essential to all insurers and reinsurers who are currently in the process of choosing between using the standard formula or, in particular, developing their own internal risk management framework.

For practitioners and regulators, this is a one-stop reference tool that contains the most up-to-date thinking on internal modelling ideas and how to prepare for Solvency II compliance. The Solvency II Handbook is the only book currently on the market that focuses solely on this subject.


Contents: Risk Sharing in Insurance Groups
T. Mayer, A. Kull, P. Keller and H. Portmann

Hedging Inflation-Linked Pension Liabilities under Solvency II
Mark Schouten, Roy Kouwenberg and Albert Mentink

Risk Assessment of Life Insurance Contracts: a Comparative Study in a Lévy Framework
Nadine Gatzert and Stefan Kassberger

Vanilla Option Replication of ALM Shortfall Risks for Life and Pension Liabilities
Rahul Karkun, Juliana Kim Moustakas and Idriss Amor

Modeling and Measuring Operational Risk in Insurance Companies: A Step-by-Step Guide to a Quick Start
Marcelo Cruz

Solvency Requirements for Life Annuities Allowing for Mortality Risks: Internal Models versus Standard Formulae
Annamaria Olivieri and Ermanno Pitacco

Corporate Decision Making Using Economic Capital Models
Susan E. Witcraft

Optimization of the Non-Life Insurance Risk Diversification in Solvency II
Werner Hürlimann

Demographic Assets and the Asset Allocation Problem for Pension Funds
Francesco Menoncin

On the Optimal SST Initial Capital of a Life Contract
Werner Hürlimann

On the Non-Life Solvency II Model
Werner Hürlimann

Building internal models: preparing for Solvency II
Stephan Erasmus and Gaurav Kwatra

QIS4 for Property-Casualty Insurers: Total Balance Sheet Approach and Impact on the Insurance Industry
Heinrich R. Schradin and Kathleen Ehrlich

Reinsurance Credit Risk
Rainer Sachs

Market Risk Measurement Under Solvency II
Michele Bourdeau

Risk Management Implementation in the Insurance Industry
René Doff

Heading in the Same Direction: IFRS 4 Phase II and Solvency II
Francesco Nagari

Using Internal Models to Determine the Solvency Capital Requirement: the Regulatory View
Paolo Cadoni

Solvency II and Liquidity Risk in Insurance Companies
Ioannis Akkizidis and Kris Luyten

Economic Scenario Generators and Solvency II
Elliot Varnell, Russell Ward and Thorsten Pfeiffer

MCEV within a Solvency II Framework
Kamran Foroughi

Dependency and Copulas
Andrew D. Smith


Author Marcelo Cruz is the founder and managing-director of the boutique consulting group RiskMaths in New York. He has over eight years of experience in operational risk modelling and measurement being recognised as a world-renowned expert on the subject. He is the author of the first academic article on operational risk, an application of extreme value theory in risk measurement. His academic interests include an extensive list of technical publications in professional and academic journals and magazines and academic texts on risk management. He is also a member of the Executive Board of GARP (Global Association of Risk Professionals) and acts as an assistant-editor for several publications in the area of finance, risk management and stochastic modeling. Prior to founding RiskMaths, Marcelo led the operational risk methodology development at UBS AG/UBS Warburg as well as working as a derivatives trader for major international investment banks such as JP Morgan for several years. Marcelo holds a PhD in mathematics, an MSc, an MBA and a BSc in economics/econometrics.


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