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EIOPA addresses calibration of risk factors in Solvency II formula


FRANKFURT, Germany—The European Insurance and Occupational Pensions Authority has published a report on the calibration of risk factors in the standard formula for Solvency II.

The Frankfurt, Germany-based EIOPA said the report was the result of work by a joint working group that includes representatives of the Comité Européen des Assurances and the Chief Risk Officer Forum, among others.

The group came up with a series of recommendations for the European Commission on how the premium and reserve risk factors should be set in the standard formula—the calculation that insurers that do not employ their own risk-based capital models will use for Solvency II.

The group proposes a combined approach to the calibration of premium and reserves risks, which would use elements of both a pan-European and a regional market-specific methodology.

The group’s recommendations can be viewed here.

For in-depth coverage of this topic and related issues, visit our Solution Arc on Solvency II Compliance and Business Challenges for Insurers.