Are both the ICA and SCR calibrated at confidence level of 99.5% over a one year time horizon? Or is ICA calculated to ultimate rather than one year? Thanks.
Again, please do a search before you post! See this: http://www.acted.co.uk/forums/showthread.php?t=8352 where td290 helpfully goes into a lot more depth than you need to know for the exam (hopefully!). Very simplistically, for ICA, you assume you're writing one more year of business, then taking the liabilities to ultimate, and look at a 99.5% VAR over that period. And for Solvency II, you just take everything 1 year ahead from now and do a 99.5% VAR at that stage.
