The model challenge: catastrophe models and Solvency II

In scope

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Many insurers rely on models to assess and price catastrophe risk and often these models are supplied by specialist catastrophe modelling firms. Solvency II raises some challenges for insurers in how they use these models and how they are treated within an insurer’s internal model.

Developments and enhancements to catastrophe models will need to be reflected within an insurer’s solvency capital requirements (SCR), but questions remain as to what scale of model change would require such a move.

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