IngentaConnect German Proposal for a Standard Approach for Solvency II

Authors: Schubert, Thomas¹; Grießmann, Gundula¹

Source: The Geneva Papers, Volume 32, Number 1, January 2007 , pp. 133-150(18)

Abstract:

The German insurance industry has dealt intensely with the creation of a new supervisory model for European insurance companies since 1997 and released the so-called GDV-model in 2002. At the end of 2005, a completely redesigned proposal for a Solvency II compatible standard approach was published. For this new release, the GDV worked together with the German supervisory authority (BaFin) and the Association of the German actuaries (DAV). The objective of this paper is to show the progress of the work aimed at developing this standard model. Market risk, credit risk, underwriting risk life and non-life and operational risk are included in the approach as CEIOPS proposed. The main focus is on modelling the market risk, especially the interest-rate risk. The paper wants to show how the ALM risk, which is quite important for the insurance industry, could be modulated in a simple but meaningful way with the help of a duration approach.The Geneva Papers (2007) 32, 133-150. doi:10.1057/palgrave.gpp.2510116

Document Type: Research article

DOI: 10.1057/palgrave.gpp.2510116

Affiliations: 1: aBusiness Administration Institute, German Insurance Association (GDV), Friedrichstrasse 191, 10117 Berlin, Germany., Email: t.schubert@gdv.org

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