SOLVENCY II PROJECT AND RISK CAPITAL MODELLING FOR THE UNDERWRITING RISK OF PROPERTY & CASUALTY INSURERS

In this contribution the provisional SCR standard formula adopted in the recent QIS2 document, issued by CEIOPS on May 2006, is described, with particular reference to the underwriting risk for Property & Casualty insurers. As well known the QIS2 document is the base for the on-going Quantitative Impact Study concerning the EU Solvency II Project, from which will be drawn up the first draft directive assumed to be published by the end of 2007. Besides, the provisional formula will be compared with the results supplied by a simulation model based on a risk-theory approach, according to different risk measures, confidence levels and time horizons. Finally, it will be emphasized the part of the general formula for which in-depth technical discussion is still needed.