This paper was written as a master thesis in
cooperation with KPMG DTG, Munich. The first chapter
of the paper gives an overview of
the future design of the Solvency II regulation and
of the methodology underlying modern risk models. In
the second chapter two standard models from national
insurance supervisors of Germany and Switzerland
(GDV and SST models, respectively) are analyzed.
Based on the research into basic modelling
methodology and on the overview of the national
standard models, the main challenges that the
implementation of a standard or an internal model
under Solvency II will pose for the insurance
companies will be discussed. The focus of the
analysis lies on the preparatory measures and
business requirements for IT implementation of an
internal solvency model in an insurance company.
cooperation with KPMG DTG, Munich. The first chapter
of the paper gives an overview of
the future design of the Solvency II regulation and
of the methodology underlying modern risk models. In
the second chapter two standard models from national
insurance supervisors of Germany and Switzerland
(GDV and SST models, respectively) are analyzed.
Based on the research into basic modelling
methodology and on the overview of the national
standard models, the main challenges that the
implementation of a standard or an internal model
under Solvency II will pose for the insurance
companies will be discussed. The focus of the
analysis lies on the preparatory measures and
business requirements for IT implementation of an
internal solvency model in an insurance company.