Quantitative Study (Quantitative Impact Study)


General Information

CEIOPS proposed to carry out Quantitative Studies (QIS) to investigate the effect of the implementation of the new solvency regime, in particular, new rules for valuing assets and liabilities. Insurers were asked to provide detailed qualitative and quantitative information relating to a proposal for calculating the solvency capital (SCR). CEIOPS wanted to examine the impact on the balance and the amount of required capital, if the proposals tested under the specification of the subsequent examination of QIS would be adapted as a standard for the new solvency regime Solvency II.

The essential information is acquired through additional studies, qualitative information on the practical aspect of the applicability of the proposed formulas, the necessary requirements for resources (human, software), as well as information on methods and models used by participants to perform the test.

Quantitative Study (QIS)

The following Quantitative Studies QIS3 on a new system of capital requirements were carried out:

  • QIS 1: Technical provisions: analysis of the best estimatation. The study was conducted in the period September - December 2005. QIS1 focused on determining the level of confidence with which the technical provisions are created, and an analysis of the impact of other established levels of confidence on the amount of provisions.

    qis1.pdf
  • QIS 2: The study took place during May - July 2006. It was to compare the local rules for the valuation of assets and liabilities of valuations consistent with market valuation, the determination of the required solvency capital protection (capital MCR and SCR). CEIOPS proposed, in addition, to several other methods, the percentile method for determining the technical provisions.

    qis2.pdf
  • QIS 3: The study took place during the period April - June 2007. It was to study the practicality of calculating capital requirements, taking into account the diversification of the group, alternative methods of calculating the Minimum Capital Requirement and Solvency Capital Requirement using the internal models. The following were tested: a method of cost of capital, an approach to assess the solvency of insurance holding companies and equity analysis of the structure.

    qis3.pdf
  • QIS 4: Technical Specification study was published in April 2008. The study tested the calibration of the Minimum Capital Requirement (MCR), the standard formula SCR (SCR) and the appropriateness of the simplified method of calculation of technical provisions.

Recent research on QIS4 materials can be found at:

http://www.ceiops.eu/content/view/118/124/

ECO8132e_-_Annex_1_-_CEA_QIS4_Guidance_Note.doc - a document issued by CEA containing the guidance for the fourth QIS4 Quantitative Research (June 2008)


ECO8132e_-_Annex_3_-_CEA_Helper_Tab_QIS4_-_Equity_Risk_Dampener.
Auxilliary file for an alternative formula for calculating the capital requirement for risk share in the fourth QIS4 Quantitative Studies. Identification of an alternative approach is the technical specification in Chapter TS.IX.C.21

ECO8132e_-_Annex_2_-_CEA_Helper_Tab_QIS4_-_Risk_Margin_Simplification.xls
Auxilliary file for easy analysis of the risk margin in the fourth QIS4 Quantitative Studies.

final_cea_qis4_background_document_on_calibration.doc

The current time frame set out by CEIOPS QIS

The diagram below shows the planned time frame for studies QIS4 and QIS3 to plan work on Solvency II.

 

 

 

 

 

 

 

 

 

According to the diagrams above, the scope of the work on Solvency II has been divided into blocks:

Level 1 - relates to work on the text of the directive.
Level 2 - relates to work on the process of implementing measures of the SCR, MCR, and the process of calibration.
Level 3 - relates to work on the standards of Insurance Supervisors.