Application of a simplified method to calculate Solvency II risk margin to Japanese products
1 March 2009
Application of a simplified method to calculate Solvency II risk margin to Japanese products
New approaches to quantify required capital for insurers are emerging, many based on economic value of capital with market-consistent valuation. A mark-to-model method is used where a so-called risk margin needs to be evaluated in addition to the present value of future cash flow discounted with risk-free rates. This paper reviews the application of a simplified method to calculate Solvency II risk margin to Japanese products.