Risk margin under Solvency II

Solvency II is concerned about the amount of capital European insurance companies need to hold to reduce the risk of insolvency.  An important part of the Solvency II ratio is the risk margin. The first part of the research project will investigate what the risk margin represents, why it has to be calculated and what the relationship is between the risk margin and the capital requirements of a company.  The second part of the project will deal with the cost of capital (CoC) approach for calculating the risk margin. Currently, companies take a CoC rate of 6%.  We will investigate if the 6% is appropriate. We will also investigate if the CoC method can be improved by taking a time-varying CoC rate.

Students: Ying-Chia Meng, Alice Gut, Talia Sutio

Supervisor: Klara Buysse