A stochastic reserving model for incurred triangles with negative increments, and a parametric bootstrap that runs 100,000 simulations in a third of a second.
How the Solvency II market risk module works: six sub-modules, the correlation matrix, EIOPA's monthly curves, the symmetric adjustment and a worked example.
Solvency II technical provisions are the best estimate plus the risk margin. Discounting, the 2027 risk margin change and a worked example into S.17.01.
What the solvency ratio, SCR and MCR mean under Solvency II, the linear MCR formula, its 25 to 45 percent corridor, a worked example and what a breach triggers.
A demo checklist for SCR calculation software: every standard formula module with its inputs, EIOPA parameters with dates, the S.25.01 export and a test plan.
How a ring-fenced fund is filed under Solvency II: the S.01.03 register, the SR templates per fund, the RFF rows in S.25.01 and the validations that reject it.
How to calculate a notional SCR per ring-fenced fund, the SCR as if no diversification was lost, the adjustment and its allocation by risk module in S.25.01.
With ring-fenced funds the SCR is the sum of a notional SCR per fund and one for the remaining part. The Article 217 rule, legal basis and scenario selection.
Chain-Ladder projects the triangle, Bornhuetter-Ferguson trusts a loss ratio. Both on one triangle, where each fails, and a decision table per risk group.
Twelve questions to put to any actuarial software vendor before you buy reserving software: data intake, methods, audit trail, output to S.17.01 and S.19.01.
IBNR is the reserve for claims that have happened but are not yet reported. Chain-ladder example, IBNR versus IBNER, and where it sits in S.17.01 and S.19.01.
A ring-fenced fund (RFF) is a part of an insurer whose assets can only cover certain liabilities. How the notional SCR works and how own funds are restricted.
How the Solvency II SCR is built under the standard formula: risk modules, the Annex IV correlation matrix, a worked BSCR example and the S.25.01 rows.
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