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Assessment of Solvency II requirements for Turkish insurance market
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Date
2016
Author
Höbek, Mehmet
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Solvency II is the new capital regime being in force as of January 2016 in European Union (EU). It has brought profound changes to the previous one, namely Solvency I, by introducing new methods for the calculation of solvency capital requirement (SCR) of insurance and reinsurance companies. Besides the standard formula which is composed of sub-modules for the calculation of different risks, insurance companies are also allowed to use their partial or full internal models for the calculation of SCR. Since being also discussed recently in Turkish insurance market, this study analyzes the impact of Solvency II to Turkish insurance companies by comparing the standard formula and internal model results based on real data using copulas. The study focuses on non-life premium and reserve risk calculation using both the standard formula and the internal model for three insurance companies of different sizes. Solvency II assumes that the premium and reserve risks for all segments are lognormal distributed and linearly correlated and aggregates the risks for the segments using predetermined correlation coefficients. Since companies are also allowed to use internal models and parameters based on their real data for the calculation of SCR, we used copulas to model the dependence between segments and calculate the SCR for the aggregated risks using Value-at-Risk (VaR) and Monte Carlo simulation. The proposed methodology is applied to motor vehicle liability (MTPL) and other motor (motor) segments’ data over the years 2009-2015. The internal model results for SCR are then compared for the three companies and the rest of the insurance sector with the results of Solvency II standard formula with respect to their size and the current Turkish solvency capital regime.
Subject Keywords
Insurance
,
Insurance
,
Insurance
,
Insurance
URI
http://etd.lib.metu.edu.tr/upload/12619880/index.pdf
https://hdl.handle.net/11511/25542
Collections
Graduate School of Applied Mathematics, Thesis
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M. Höbek, “Assessment of Solvency II requirements for Turkish insurance market,” M.S. - Master of Science, Middle East Technical University, 2016.