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Solvency II SCR formulae (std dev for prem and reserve risk)

Discussion in 'SA3' started by padasala, Jan 17, 2022.

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  1. padasala

    padasala Ton up Member

    Hi,

    I am looking at the forumlae for the calculation of SCRs for each individual module. I referred to two sources listed below:

    (the EIOPA website) https://www.eiopa.europa.eu/rulebook/solvency-ii/article-6926

    In the calculation of standard deviation for prem and reserve risk, the original equations in the solvency directive have a 1/4 while the EIOPA website does not have a 1/4.

    Which equation is correct?
     
    Last edited: Jan 17, 2022
    padasala, Jan 17, 2022
    #1
  2. Ian Senator

    Ian Senator ActEd Tutor Staff Member

    Not sure! Page 27 of Chapter 4 is the Core Reading's take on it, which is the material you should concentrate on, and is nowhere as detailed as either the whole directive or the EIOPA information. There were numerous iterations of the final rules over the 15 or so years that S2 was developed, so it may be that some sources you find still refer to earlier versions of the rules.
     
    Ian Senator, Jan 18, 2022
    #2
  3. padasala

    padasala Ton up Member

    I think i figured it out. it was a chrome extension issue!

    on another note, is it a good idea to study the detailed formulae on how the SCR for each sub-module is calculated? For instance, how the SCR for windstorm risk and eq risk is calculated as part of the nat cat module?
     
    padasala, Jan 19, 2022
    #3
  4. Ian Senator

    Ian Senator ActEd Tutor Staff Member

    It won't do you any harm (apart from use up valuable study time which, arguably, might be better used in other ways), but I wouldn't go too far beyond the Core Reading into formulae, as they're unlikely to be examined directly. It might improve your understanding of risk quantification though. If you look at past papers you'll see that formulae of any sort rarely appear in SA3 exams.
     
    Ian Senator, Jan 19, 2022
    #4

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