In order to support the European Commission in finalising the Solvency II implementing measures, CEIOPS is aiming to provide recommendations based on robust, empirical data for the calibration of the premium and reserve risk factors in the non-life underwriting risk module of the SCR standard formula tested in QIS5. The usefulness of these recommendations relies on the fact that the results of this review have to be delivered by mid March 2011.
CEIOPS will lead a Joint Working Group consisting of representatives of AMICE, Groupe Consultatif, CEA and CRO forum as well as observers from the European Commission to discuss the most appropriate calibration methods and to derive recommendations for setting the above mentioned risk factors, based on the data received.
As a first step, CEIOPS has launched a European wide data request. To guarantee the feasibility of the revision exercise, all the parties of the joint working group have been involved in the design of this data request.
Data should be submitted to national supervisors as part of the QIS5 exercise – with an extended submission date for this specific data requirement of 30 November 2010. National supervisors will review the submissions to ensure that the data submitted is fit to support the intended analysis before forwarding it to CEIOPS.
Special provisions have been made to ensure the confidentiality of the submitted data, and access to the centralized database will be restricted to CEIOPS exclusively.
A detailed description of the data to be collected and the template that shall be used to submit the data are available via CEIOPS’ website at:
https://www.ceiops.eu/consultations/qis/quantitative-impact-study-5/non-lifecalibration-data-collection/index.html
To ensure that the data collected is comprehensive and representative of the whole
European market, the participation of as wide a range of undertakings (of all types and sizes) and Member States as possible is strongly encouraged. The results of the analysis (but not the data supplied by undertakings) will be made public, including information on the calibration methodologies which have been applied.
CEIOPS would like to thank in advance all undertakings for their efforts to be part of this exercise.
Source : CEIOPS
