Quantitative Risk Management

Quantitative Risk Management is responsible for monitoring actuarial, market and credit risks through the Swiss Solvency Test (SST). The SST is a newly developed tool for assessing the solvency of the insurance companies subject to supervision. It is a principles and risk-oriented tool based on a total balance sheet approach and market-linked valuations. The SST is aligned with the principles of Solvency II – the equivalent project within the EU. The major direct insurers have been required to use the SST since 2006. The requirement was extended to all supervised insurance companies and groups from 2008. The only exception is the majority of reinsurance captives. Reviews have begun. The SST specialists at the FOPI are expecting to review some 140 SST reports from 2008 onwards. As the SST allows a company to use its own internal model if the standard model is not suitable for its needs, the SST specialists have to review numerous internal company models. This is a complex process that began back in 2006 with preliminary investigations at a large number of companies.