Solvency capital modelling

Insurers and reinsurers have many options to choose from when deciding how to meet the greater demands placed on them by new and ever-changing solvency capital regimes of regulators and rating agencies.  There is no shortage of off-the-shelf software packages to drag companies over the next foreseeable compliance hurdle, at a cost.  Certain companies may see advantages in cost and flexibility in building their own in-house modelling apparatus and staying independent of a licensed software platform.  At ICA we help our clients realise these advantages, building bespoke capital models tailored to meet their own unique set of requirements, which might include:

  • Assessing capital adequacy for Solvency II, demonstrating use of a qualified model with audit trail and documentation, presenting results with customized reports / GUI
  • Assessing economic capital used and corresponding ROC / EVA
  • Assessing capital adequacy for rating maintenance or improvement
  • Evaluating MFL scenarios, stress testing volatility and correlation assumptions, and informing a broader ERM process
  • Optimizing reinsurance buying
  • Integrating capital modelling into financial reporting
  • Giving finance/actuarial staff the ability to access, adapt and refine the model without significant prerequisite programming skills