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Daily Insurance Industry News
Tuesday 14th of August 2018
December 2, 2010

Guy Carpenter examines nat cat scenarios alongside Solvency II

by Gill Montia

Story link: Guy Carpenter examines nat cat scenarios alongside Solvency II

As part of its latest Solvency II update, Guy Carpenter has analysed the industry-wide impact of the natural catastrophe scenarios provided in QIS5, the European Commission’s fifth and most recent Quantitative Impact Study.

The reinsurance intermediary has also conducted its own analysis to measure the industry-wide impact of these scenarios and determine whether they are in line with current industry assumptions.

The scenarios include windstorm, flood, earthquake, hail and subsidence, and Guy Carpenter has proposed parameters seeking to define each at a level corresponding to a one-in-200 year loss.

Key findings are as follows:

On an aggregate level, the QIS5 scenarios were found to be roughly within the range of current industry models.

Most insurers will likely need to make adjustments to optimise their positioning and operations under the Solvency II regime.

In many European countries, the current market reinsurance limit, including catastrophe bonds and comparable structures, is below the amounts suggested by the QIS5 scenarios.

On average, companies buy reinsurance below the recommended one-in-200 return period in most countries.

The firm’s head of analytics EMEA Region, Claude Lefebvre, comments: “While our analysis provides useful QIS5-scenario loss metrics at the aggregate level, it is not enough to successfully position a company for the new Solvency II regulatory requirements.”

He adds: “This must be done on an individual basis, taking into account each company’s unique attributes, situation and strategy.”

 

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