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April 2013 Q1 (iii)

C

ciza5

Member
Hi

I'm struggling with the formula for the non life risk scr calculation.
The formula in the solution is different to that in the core reading. Is this just because the exam paper is pre solvency 2 implementation ?
The core reading says cat risk is calculated using complex formulae, I realise we are giving the cat capital charge in the question, so were we expected to know to apply the bscr formula to the non life risk elements to get the non life risk capital charge? Also the correlation for premium and reserve in 2016 is 0.5 compared to 1 in the exam paper. And the catastrophe and premium/reserve correlation is 0.25 in the exam whereas I haven't seen this anywhere in the core reading. I guess I just want to know if this variation was only because solvency 2 wasn't implemented the time and so it's possible that this particular calculation wasn't yet for finalised??

Thanks
 
I think you're wasting your time trying to work out what's changed between QIS 5 and now. Certainly there are differences, but don't bother trying to work out what they are, QIS 5 has been and gone.

The main thing is to know the standard formula as it is today (at least to the level of detail in the Core Reading, although obviously it's more complicated than that in practice, and they've been known to examine things that are beyond the Core Reading, so be warned).

Who cares if they had to know the BSCR formula back then, you definitely have to know it now.
 
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