Études et Dossiers - Geneva Association

Transcrição

International Association for the
Study of Insurance Economics
Études et Dossiers
Extract from
Études et Dossiers No. 294
The 20th PROGRES International Seminar
“New Developments in the Regulation and
Supervision of Financial Services”
4 – 5 November 2004
Hotel President Wilson, Geneva
This document is free to download from The Geneva Association website, www.genevaassociation.org
April 2005
Working Paper Series of
The Geneva Association
© Association Internationale pour l'Etude de l'Economie de l'Assurance
The Geneva Association - General Secretariat - 53, route de Malagnou - CH-1208 Geneva
Tel.: +41-22-707 66 00 - Fax: +41-22-736 75 36 - [email protected] - www.genevaassociation.org
The Geneva Association Working Paper Series “Études et Dossiers” appear at irregular
intervals about 10 – 12 times per year. Distribution is limited.
The “Études et Dossiers” are the working paper series of The Geneva Association. These
documents present intermediary or final results of conference proceedings, special reports and
research done by The Geneva Association. Where they contain work in progress or summaries
of conference presentations, the material must not be cited without the express consent of the
author in question.
This document is free to download from The Geneva Association website, please visit:
www.genevaassociation.org
Layout & Distribution: Valéria Kozakova & Bernadette Curty
© The Geneva Association - Association Internationale pour l'Etude de l'Economie de l'Assurance
The Geneva Association_________________________Etudes et Dossiers no. 294
Gesamtverband der Deutschen Versicherungswirtschaft e.V.
Insurance sector views on
solvency ll
Thomas Schubert
06.04.2005 12:14
Insurance sector views on Solvency II
Dr. Thomas Schubert
Geneva, 4 November 2004
Document free to download
6-1
Timetable in European project “Solvency II” was
published by the EU-Commission in summer 2004
1999
2003
Start of
End of phase I
the project Start of phase II
today
2005
2008
Draft proposal
for a Framework
Directive
European
Solvency II
Directive
Implementation
in national
law
2010??
Commencement
of Solvency II
¾ Next steps:
Mandates for CEIOPS in autumn 2004
Progress reports of the CEIOPS-Groups “Pillar I Life”, “Pillar I Non-Life” and “Pillar II” in
December 2004
Draft proposal for a Framework Directive in 2005
06.04.2005 12:14
The European supervisory system for financial
services providers is undergoing a fundamental and
wide-ranging change
¾ Phase I - Framework: The focus of supervision is shifting from a quantitative,
enumerating approach to a qualitative assessment (finished 2003)
Market
discipline
process
Supervisory
review
requirements
Minimum
capital
Supervision
06.04.2005 12:14
6-2
The new risk-based capital requirements and
qualitative rules are particularized now
¾ Phase II - Specification: The new rules will formulate in the following process (will
finished in 2008):
EU-Commission: Framework Directive (till the end of 2005)
CEIOPS-working groups:
– Three waves of specific calls for advice from CEIOPS
• Pillar II
• Pillar I: Life and Non-Life
• Pillar III and cross-sectoral issues
– First specific call for advice for Pillar II (summer 2004)
In-depth testing of the new regulation system in the practice of insurers in the
different European countries
European legislation and translation into national law
06.04.2005 12:14
The GDV started the development of a risk-based
standard approach in 1997
¾ Aims and characteristics of the GDV standard approach:

risk-based
> risk-based
qualitative
> qualitative
transparent
> transparent
flexible
approach
approach
> flexible
For all insurance companies irrespective
> their
For all
companies
of
sizeinsurance
and their legal
form irrespective
of their size
and their
legalpossible
form
Adjustment
to national
markets
>
Adjustment
to
national
markets
possible
Different approach for life and for casualty,
property
and approach
accident insurers
> Different
for life and for casualty,
modular structure
modular structure
property and accident insurers
06.04.2005 12:14
6-3
BerechnungdesvorhandenenRisikokapitals
¾ Input of dates from the:
¾ Annual Report
¾ Capital Investment (incl. Derivates)
¾ Insurance business
¾ Reserves and provitions
6-4
¾ Cp. Input-Excelsheet to the GDV-Model
¾ Calculation and comparison of:
¾ Available risk capital
¾ Target capital requirements
+
+
+
+
+
+
+
+
+
AusstehendeEinlagenaufdasgez.Kapital
ImmaterielleVermögensgegenstände
Eigenkapital
Genussrechtskapital
NachrangigeVerbindlichkeiten
SonderpostenmitRücklageanteil
FreieRfB
SGA-Fonds
BewertungsreservenbeiKAgemäß§54RechVersV
Bewertungsreservenauf ALM-Bonds
StilleReservenderzuNominalwertenbilanziertenAktiva
DividendezuzüglichBonus
Sonderausschüttung
ZurückgeführteAussschüttungen
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
vorhandenesRisikokapital(RC)
ZugrundegelegtesQuantil
0,22%
BerechnungdesC1-Risikos
μ
Adressenrisiko
BuchwertbilanzierungderAktiva
Anleihen(inkl.Staatsanleihen),Darlehen,Pfandbriefe:
AAA,Pfandbriefe
AA
A
BBB
BB
B
CCC
ohneRating
nahe/imKonkurs
Hypotheken
1a-Hypotheken
nichterststelligeoderBeleihungüber60%desMarktwertes
davonimZinsverzug(>30Tage)
ansonsten
σ
RF
RT
E
RBC
0,00%
0,75%
0,75%
1,30%
3,00%
0,00%
0,42%
0,42%
3,26%
7,52%
13,72%
20,18%
3,00%
30,00%
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0,10%
0,5%
0
0
0
0,35%
0,35%
7,0%
1,0%
0
0
0
0
0
0
0
Ertrag(Default)
0
Default
Marktänderungsrisiko
ρ(Aktien,Bonds)
μ
σ
RF
RT
E
RBC
0,1
BuchwertbilanzierungderAktiva
Grundstücke
Aktien
¾ Cp. Calculation-Excelsheet to the GDV-Model
1-Jahressicht
2-Jahressicht
TotalReturnVorjahr
2-Jahressicht
Minimumvon1-und2-Jahressicht,mindestens20%
mitbesondererAbsicherung
Fixed-Income
gematcht
ungematcht
5,1%
5,0%
8,8%
0
0
9,2%
19,2%
-2,7%
15,0%
18,0%
28,8%
28,6%
0
0
5,2%
3,3%
26,6%
26,6%
20,0%
0
0
0,0%
4,2%
0
0
0
0
0
0
0
FondsgebundenenVersicherungenmitGarantien
RBCbeieinzelvertraglicherBerechnung
0
0
Ertrag(Vola)
0
Vola
Konzentrationsrisiko
GroßengagementsFixedInvome
06.04.2005 12:01
RF
RT
RBC
Input and Calculation in the GDV-Model: Life
The German insurance industry takes a positive stand
on “Solvency II” and is actively accompanying the
project
But (generally) . . .
¾ Regulations for the banking sector should not be applied to insurers without scrutinizing
them
¾ The own funds to be held available should be limited to what is necessary in terms of risk
¾ The standard approach should not make excessive demands even on smaller companies
¾ Internal models should be authorized simultaneous with the standard approach
¾ Homogeneous interpretation of qualitative rules should be ensured across Europe
¾ Requirements for external reporting should be coordinated in an active way
¾ The Lamfalussy procedure should be a transparent process integrating the know how of
the insurance industry early and actively on the working level
06.04.2005 12:14
The German insurance industry takes a positive stand
on “Solvency II” and is actively accompanying the
project
But (details i.e.) . . .
¾ Technical provisions: The harmonization of the technical provision on a common level of
prudence should be basically compatible to the future national accounting system
¾ Asset management: Generally any quantitative investment regulations are incompatible
with a qualitative, risk-oriented supervisory system along the lines of “Solvency II“
¾ ALM: The inclusion of ALM aspects in a standard model in Pillar I should be very simple.
Advanced stochastic approach are a topic for internal models
¾ Solvency control levels: These different levels and the supervisory power of intervention
should be clearly defined. The supervisory process has to be transparent
¾ Minimum solvency margin: The minimum capital should defined as an absolute figure
06.04.2005 12:14
6-5
For any further particulars I will be pleased to be at your disposal:
Dr. Thomas Schubert
Head of Business Administration Institute
(German Insurance Association)
Friedrichstraße 191
10117 Berlin
Tel.: 030 / 2020-5470
Email: [email protected]
06.04.2005 12:14
6-6