...Felix Schwartze; Michael Dobler Purpose This study aims to provide initial evidence on the determinants of insurers’ narrative risk disclosure in Solvency and Financial Condition Reports (SFCRs) as a new reporting instrument under Solvency II. Design/methodology/approach We investigate...

...Pablo Durán Santomil; Luis Otero González Purpose The purpose of this paper is to analyze how enterprise risk management (ERM), the system of governance and the Own Risk and Solvency Assessment (ORSA) have been boosted with the entry of Solvency II. Design/methodology/approach...

... enterprise risk management. Dorothea Diers can be contacted at: dorothea.diers@provinzial.de © Emerald Group Publishing Limited 2013 Non‐life insurance Value‐based management Internal risk models Solvency II Parameter risk Insurance Insurance premiums Under Solvency II, regulators...

... the solvency capital requirement (SCR) in the context of Solvency II. This paper seeks to address these issues. Design/methodology/approach In addition to the Solvency II standard model, the author applies the model of Gatzert and Martin for introducing a partial internal model for the market risk of bond...

...Mariarosaria Coppola; Valeria D'Amato Purpose The determination of the capital requirements represents the first Pillar of Solvency II. The main purpose of the new solvency regulation is to obtain more realistic modelling and assessment of the different risks insurance companies are exposed...

... with internal bank financial institution research, can be used for banks' EAD estimation as mandated by Basel II for bank CCL portfolios, or implemented as part of a Solvency II process for insurers exposed to credit sensitive unfunded commitments. Apart from regulatory requirements, distributions of stochastic...