Handbook of Solvency for Actuaries and Risk Managers Theory and Practice

Solvency Introduction
Solvency
A Historical Review
Managing Risks and the Enterprise
A Summary of the Development of Enterprise Risk Management and Solvency
Elements of Solvency Assessment Systems

Valuation, Investments, and Capital
Total Balance Sheet Approach
Asset Valuation
Liability Valuation
Other Valuation Issues
Investments and Own Funds
Accounting Valuation

Modeling and Measuring
Developing a Model
Dependence
Risk Measures
Capital Requirement: Modeling and Measuring
Risks and Subrisks
Market Risk
Credit Risk
Operational Risk
Liquidity Risk
Underwriting/Insurance Risk

The European Solvency II General Ideas, Valuation, and Investment: Final Advice
European Solvency II: General Ideas
European Solvency II: Asset Valuation
European Solvency II Project: Liability Valuation
European Solvency II Project: Eligible Own Funds and Investments

The European Solvency II Standard Formula: Final Advice
Solvency II: The Standard Formula Framework
Solvency II Standard Formula: Market Risk
Solvency II Standard Formula: Credit Risk
Solvency II Standard Formula: Operational Risk
Solvency II Standard Formula: Liquidity Risk
Solvency II Standard Formula: Nonlife Underwriting Risk
Solvency II Standard Formula: Life Underwriting Risk
Solvency II Standard Formula: Health Underwriting Risk
Solvency II Standard Formula: Minimum Capital Requirement

Backgrounds and Calibrations
Some Statistical Clarifications
Approximations for Skewness
List of Different Papers That Has Been Published by CEIOPS
European Solvency II Project
European Solvency II: General Ideas
European Solvency II: Asset Valuation
European Solvency II: Liability Valuation
European Solvency II: The Standard Formula Framework
European Solvency II Standard Formula: Market Risk
European Solvency II Standard Formula: Credit Risk
European Solvency II Standard Formula: Operational Risk
European Solvency II Standard Formula: Liquidity Risk
European Solvency II Standard Formula: Nonlife Underwriting Risk
European Solvency II Standard Formula: Life Underwriting Risk
European Solvency II Standard Formula: Health Underwriting Risk
European Solvency II Standard Formula: Minimum Capital Requirement

References

Index

Biography

Arne Sandström is the chief actuary of the Swedish Insurance Federation, where he has worked since 1985. Dr. Sandström is a member of IAA’s Solvency Subcommittee, CEA’s Solvency II Steering Group, and the Groupe Consultatif Pillar I Non-Life Working Group.

…this book is a must for any actuary and risk manager in insurance. It gives a comprehensive overview on all the relevant material concerning Solvency II. This makes the book also valuable for researchers working in risk management. Many graphs illustrate the theoretical background. Simple explanations are given, and most formulae are without proof. This makes it understandable for anybody working in the field. An extensive list of references gives more material. In particular, a researcher may find there hints to the proofs and the background theory behind the formulae.
—Hanspeter Schmidli, Zentralblatt MATH 1209

As an actuary working in a risk team with predominantly non-actuaries, I was interested in reviewing this book from two angles. Firstly, could there really be that much to write about solvency (it is a hefty volume) and secondly, would my non-actuarial colleagues find it useful in practice? … I feel that I have learnt a huge amount in a short time and am bracing myself for a return visit to the section on copulas. As to the answers to my opening two questions, they are most definitely ‘yes’ on both counts. This is an excellent reference manual for anyone working in a risk environment, irrespective of their level of involvement in the Solvency II project.
—Annals of Actuarial Science, Vol. 5, June 2011

In this handbook he [Sandstrom] offers a clear definition of solvency, a broad historical review, and a comprehensive treatment of the capital requirement. These general ideas are covered in the first section, and the second section addresses in detail the European Solvency II project. … He also advises readers that the most current developments from CEIOPS will be published at his website. This handbook is for professionals in the field but can be used as well as for the education of future actuaries and risk managers.
—SciTech Book News, February 2011