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【出版时间及名称】：2010年1月欧洲保险行业研究报告
【作者】：摩根大通
【文件格式】：pdf
【页数】：72
【目录或简介】：
Table of Contents
Solvency II – a potential game changer..................................3
How to use this document............................................................................................3
Insurance sector is cheap, but we prefer the stronger capitalized names given
regulatory uncertainty ..................................................................................................4
Solvency II has the potential to be positive, but we are nervous about the most recent
proposals ......................................................................................................................6
Current CEIOPS proposals will put pressure on the industry capital base – solvency
ratio well below 100% .................................................................................................7
The primary impact of Solvency II will we think be on the asset side ........................8
Reinsurance potentially the other winner.....................................................................9
Potentially reduced near term M&A, but increased long term...................................11
And on the system......................................................................................................12
The big picture concepts of Solvency II ...............................14
A history of Solvency for insurance companies.........................................................14
Solvency II – a 3 pillar approach ...............................................................................14
News-flow likely to increase significantly in 2010....................................................15
Capital in a nutshell under Solvency II – the concept of a market value balance sheet
..................................................................................................................................16
Detail on market consistent liabilities........................................................................17
Theory behind the required capital under Solvency II (i.e. SCR)..............................19
The “nitty gritty” of Solvency II.............................................22
Really two issues: (a) debt versus equity; and (b) the discount rate ..........................22
Available capital – definition of own funds...............................................................22
Issues impacting the discount rate for liability values ...............................................25
Specific charges for non-life and life underwriting risk ............................................30
Market risk.................................................................................................................33
The concept of diversification and group support......................................................40
Liquidity needs – insurers are not banks....................................................................41
Use of internal models potentially important.............................................................43
Counterparty risk .......................................................................................................44
Operational risk will have explicit charges................................................................46
Solvency II credit for non proportional reinsurance ..................................................47
Appendices
Appendix I: Solvency II and the demand for reinsurance...48
Appendix II: AXA as an example – analyzing QIS4..............55
Appendix III: Allianz economic capital model as an example
.................................................................................................60
Appendix IV: Summary of conversations with companies
(company names excluded) ..................................................65
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