| Abstract [eng] |
Solvency II. Partial Internal Model Solvency is one of the most important characteristics of the insurance company. Sufficient solvency ratio ensures long–term performance of the company and the necessary protection of policyholders. The new solvency assessment framework (Solvency II) came into force across the EU on 1 January 2016. It is based on a variety of risk evaluation modules, so it better reflects the real state of the company’s solvency. Under the Solvency II insurance company’s solvency capital requirement (SCR) can be calculated in several ways by using the standard formula, internal models or partial internal model and the standard formula. Our goal was to create a linear regression equation for the solvency capital requirement. To achieve this, we simulated life insurance company which distributes unit-linked insurance product. By using partial internal model and the standard formula we evaluated company’s solvency capital requirement under Solvency II standards and created a regression model. Results of our studies showed that the developed regression model precisely describes only the average solvency capital requirement. To create a regression equation which accurately describes each realization of SCR is necessary more detailed business model. |
