Gruppenaufsicht unter Solvency II

The proposal of the Solvency II Framework Directive substantially changes the supervision of insurance groups. The new concept establishes a genuine authority for group supervision (Group Supervisor) that takes over the competences for group supervision from the national solo-supervisory authorities. The national supervisory authority that has authorized the group’s top-level insurance or reinsurance undertaking regularly acts as Group Supervisor. However, the shift of competences does not go far enough – alongside the supervision of the entire group within the territory of the EU by the Group Supervisor, the Member States are authorized to allow their national supervisory authorities the additional supervision of national subgroups and subgroups covering several Member States.The provisions concerning the determination of the group’s Solvency Capital Requirement (SCR) are of pivotal importance: The SCR can be calculated on the basis of either the standard formula or an internal model approved by the Group Supervisor. As a highly welcome development, diversification effects can be taken into account in the calculation. On the negative side, this possibility is restricted to those groups, calculating on the basis of the consolidated account. Furthermore the group may implement a group support system. Within this system, subsidiaries may cover a part of their solo-SCR by obtaining a commitment of support of the group’s top-level undertaking. Even though the Group Supervisor makes the essential decisions in the field of group solvency and group support, the national supervisory authorities are also provided with some competencies. This leads to the conclusion that the objective of creating a coherent supervision has only been partly achieved.In spite of these shortcomings the modernization of the group supervision is a major improvement of the legal framework for both, companies and supervisory authorities.     

Solvency II: Das Governance-System in der Versicherungsgruppe

The Solvency II Directive creates a complex set of prudential rules to improve the protection of policyholders and to contribute to the stability of the financial market. One of the key elements is a system of governance, which is not only to be established in each undertaking concerned, but also at group level. This article shows that in a factual group, the parent company’s sphere of influence is very limited, rendering it impossible to implement an effective group-wide governance system. Thus, the achievement of the objectives is at stake. The author discusses various approaches to solving this problem and proposes an amendment to the law. Furthermore, the impact of the paradigm shift from a rules-based to a principles-oriented regulatory regime is analyzed.     

The Solvency II Process: Overview and Critical Analysis

As early as the 1970s, European Union (EU) member countries implemented rules to coordinate insurance markets and regulation. However, with the more recent movement toward a general single EU market, financial services regulation has taken on new meaning and priority. Solvency I regulations went into effect for member nations by January 2004. The creation of risk-based capital standards, the main focus of Solvency II, now appears likely sometime after 2007. The purpose of the discussion presented here is to outline the specifics of Solvency II as they currently stand and suggest important areas of future research.     

Die Gruppenaufsicht nach dem Entwurf der Solvency II Rahmenrichtlinie

The draft framework directive for Solvency II (“Draft”) in general and the section on group supervision in particular is an impressive step towards a modern supervisory system, which is aligned with the economical reality of the insurance groups. It is to be hoped that the Draft will be implemented with only few changes.The Draft distinguishes a general and a special (group support regime) group supervision. The general group supervision constitutes a much more modern concept than the current Insurance Groups Directive, since it partly modifies the solo supervision (internal model to be approved by the group supervisor) and introduces a group based solvency requirement, the calculation of which allows for diversification effects on a group level.The group support regime, which applies only if an application has been approved by the group supervisor, allows to recognise such diversification effects by allowing the parent undertaking to replace paid-up own funds in a subsidiary undertaking by a group support declaration. Conditions for group support are in particular that the respective subsidiary is subject to an integrated risk management and internal control system, that the group solvency requirement is covered with own funds, and that the parent undertaking commits to promptly transfer own funds to the subsidiary where necessary, up to the limit of the group support declaration.     

Proposal for correction of the SCR calculation bias in Solvency II

In the context of Solvency II the Solvency Capital Requirement (SCR) is a well known financial demand which will have to be fulfilled by all European insurance companies to assure a theoretical ruin probability of 0.005 or less.     

Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II

Recently Cairns et al. introduced a general framework for modeling the dynamics of mortality rates of two related populations simultaneously. Their method ensures that the resulting forecasts do not diverge over the long run by modeling the difference in the stochastic factors between the two populations with a mean-reverting autoregressive process. In this article, we investigate how the modeling of the stochastic factors may be improved by using a vector error correction model. This extension is highly intuitive, allowing us to visualize the cross-correlations and the long-term equilibrium relation between the two populations. Another key benefit is that this extension does not require the user to assume which one of the two populations is dominant. This benefit is important because, as we demonstrate, it is not always easy to identify the dominant population, even if one population is much larger than the other. We illustrate our proposed extension with data from a pair of populations and apply it to the calculation of Solvency II risk capital.     

Auswirkungen von Solvency II und der neuen EU-Finanzaufsichtsarchitektur auf die Kapitalallokationsstrukturen von Versicherungsgruppen

This paper analyses how the foreseen Solvency II provisions on group solvency calculations will affect the capital allocation within insurance groups. In this respect influencing factors are identified and the incentives set by them are disputed, in particular choice of method (consolidation method vs. deduction and aggregation method), choice of model (internal model vs. standard formula), non-transferability and treatment of participations at solo level. It is shown that the effects will depend heavily on the concrete implementation of the new provisions on the one hand and on the interplay of national supervisors and EIOPA (inter alia in certifying internal models and in setting capital add-ons) on the other hand.     

Solvency II und Rechnungslegung — Diskussion einer solvabilitätsorientierten Bilanzierung von Versicherungsunternehmen

A modern stochastic solvency model for insurance companies is also based on the balance sheet like a traditional factor-based solvency model. Therefore the importance of the interactions of Solvency II and the IASB-project to develop a new standard for the accounting of insurance contracts is frequently stressed in the Solvency II discussion. The following article is discussing the deduction of an adequate accounting framework for solvency purposes of insurance companies. Thereby different theoretical options are considered and compared with the purpose of a solvency balance sheet. In a second step the resulting accounting framework is compared with existing accounting standards.     

Rechnungslegung und Aufsicht von Versicherungsunternehmen — Zur Vereinbarkeit von IFRS und Solvency II

Current discussions of Insurance Accounting and supervisory regulation present some major challenges for insurance companies. The International Accounting Standards Board (IASB) started a project on Insurance Accounting to apply the principles of fair value to insurance liabilities. At the same time ‘Solvency II’ contains a fundamental and wide-ranging review of the insurance solvency regime in the light of adequate risk consideration. The paper discusses the aims and problems of both projects. The separate illustration presents the basis to identify the essential interdependences of ‘Insurance IFRS’ and ‘Solvency II’.The main problem is to create a unique valuation basis for Insurance Liabilities which makes allowance for relevant and reliable accounting rules as well as for solvency margins. On the basis of an actuarial approach an adequate model is shown. The construction of Fair Value contains the deviation of a Market Value Margin (MVM), which reflects the premium that a marketplace participant would demand for bearing the uncertainty inherent in the cash flows. For the purpose of solvency additional risk components must be integrated due to the fact that the Market Value Margin basically does not allow for all parts of volatility and uncertainty risk in insurance liabilities.     

Aktuelle Entwicklungen in der Beaufsichtigung und Rechnungslegung von Versicherungsunternehmen: IFRS und Solvency II

Accounting and supervision are closely related, especially via the determination of regulatory capital. As a precondition for the harmonisation of solvency rules within Europe, as discussed in the context of Solvency II, there is a need for harmonised accounting rules regarding the recognition and measurement of assets and liabilities. The International Financial Reporting Standards resp. International Accounting Standards (IFRS resp. IAS) are used as a starting point. Insurance contracts are accounted for under IFRS 4, published in March 2004, which is only established as an interim standard allowing insurance companies to continue their existing accounting policy without major changes in their accounting systems. The IASB has just begun working on a final standard (Phase II). The IASB’s work on the final standard should be taken into account for the determination of regulatory capital as well. The third pillar of Solvency II is an additional connection between international accounting standards and the Solvency II project: extensive disclosure requirements companies shall provide disciplinary transparency with regard to their risk management systems and risk profiles.     

The dynamics of premium reserves of life annuities under the regime of Solvency II

The article considers the solvency requirements for a whole portfolio of annuities under the regime of Solvency II. More precisely, the following question is investigated: Which demand of interest on the initial capital – the Solvency II premium reserves – is needed in order to fit the balance for Solvency II capital requirements in the next year? It turns out, that even for a model portfolio of simple annuities with say guaranteed interest rate of 1,25% the demand of interest in one year is greater than 3%. So even if a life insurance company fulfill the capital requirements of Solvency II in 2016 the mentioned effect causes eventually problems in future times.     

解析寿险公司偿付能力监管--访中国保监会北京监管局副局长傅安平

中国寿险业近年来发展迅速,保费收入年增长率均保持在30％左右,在寿险市场规模快速扩大的情况下,寿险业的偿付能力问题也暴露出来。为了保障投保     

偿债能力评信及其报告使用中应注意的问题

偿债能力评估的前提条件,对中介机构的选择,对评估资产范围、评估方法和评估报告的特殊要求,以及如何使用偿债能力评估结果是偿债能力评估实践中应注意的问题.     

偿债能力评估中担保的计算

本文针对偿债能力评估实践中遇到的一些问题,提出了解决方案.通过对比计算,得出结论:在担保的计算过程中一般应采用先计算债务人的偿债能力,再计算担保人的偿债能力的方法,以获得偿债能力最大值.一些例外的情况则需经计算后加以确定.     

Solvency Solecisms: Corporate Officers' Problematic Perceptions

This examination of corporate officers' perceptions provides insights into their confused understanding of solvency. Questionnaire and interview evidence exposes officers' equivocations on whether a separate legal entity or group enterprise perspective should be adopted in assessing solvency. The serviceability of consolidated (economic entity or closed group) accounting data is demonstrated here to be equally problematic for officers making those solvency assessments in respect of an economic group and any related closed group. These outcomes have implications for agencies such as APRA and ASIC in developing regulatory policy.     

市场约束条件下的保险公司偿付能力监管

针对保险公司风险形态的变化,发达经济体经历了从静态偿付能力监管到动态偿付能力监管的变革过程.在制度逐步完备的情况下,这些国家仍然出现了很多偿付能力监管失灵的情形,大量保险公司因此破产.本文对动态偿付能力约束条件与偿付能力理论假设进行了研究,并结合实证分析,指出了现有偿付能力监管制度的缺陷,提出了完善制度设计、建立中国保险业动态偿付能力监管体系的建议.     

Markttransparenz durch Versicherungsaufsicht — Informationsökonomische Begründung der dritten Säule von Solvency II

The paper shows that there will be the possibility of adverse selection in insurance markets, if policyholders are inadequate informed about the solvency of the insurance companies. We analyse potential methods of resolution of the insurance market itself to overcome the informational disadvantages of the policyholders. While screening and signalling by the original market participants do not seem to be successful, transparency of solvency may be obtained by a regulating authority. However the actual instruments of the German regulating authority BAFin do not turn out to be satisfactory in this point. Hence the paper gives chapter for a statement for the third pillar of the Solvency II project. Finally we point out additional demand of research concerning the detailed design of the disclosure requirements.     

社会服务类上市公司偿债能力分析

随着经济的快速发展,人们的生活水平越来越高,社会服务类企业面临的挑战也就越来越多.在瞬息万变的市场下,要想寻求自我的生存与发展,就必须提高自身的竞争能力,其中偿债能力是竞争能力的重要方面.论文选取了19家社会服务类企业2010年到2014年五年的财务数据,选取了5个偿债能力指标,运用聚类分析以及因子分析研究这19家社会服务类企业5年来的偿债能力,并得到各个企业每年的因子得分.实证分析的结论是,企业应该着重关注短期偿债能力即流动比率、速动比率以及现金比率.     

对加强保险公司偿付能力监管的探讨

现行的保险监管报表制度存在着局限性,最终将影响到偿付能力监管的有效实施。必须尽快出台符合保险特点的《保险监管会计制度》,以此为基础编制供保险监管部门使用的财务报告,通过电子化手段提高监管数据的实时性、真实性,健全监管指标体系并根据情况的变化及时加以修订,使其真正具有前瞻性、预警性,实时、有效的实施偿付能力监管。