pdavidsonfia / solvency2sf

Solvency 2 Standard Formula

solvency2sf

Solvency 2 Standard Formula

Pandas/numpy implementation of the standard formula for non-life.

The calculation logic generally mimics the calculations within the standard formula guidance provided by Lloyd's. https://www.lloyds.com/resources-and-services/capital-and-reserving/capital-guidance/standard-formula-scr

The template populated with sample data is saved under /tests

Provides:

• scr:
  • non-life
    • premium and reserve
    • lapse
    • catastrophy
      • natcat euro
      • man-made
  • default
  • bscr
  • op
  • scr
• mcr

Structure:

• Each scr sub-module is within its own package.
• Any required parameters are typically stored in CSV files in the same package
• Functions often return tuples. The first item will be a numerical result, the subsequent items data frames containing additional breakdown to debug and support QRT completion.

Known limitations:

• only gross scr calculated in natcat: approach for reinsurance may be very company specific.
• not all nat-cat modules included (yet)
• default quite simple

solvency2sf's Issues

Add SCR allocation function

Would be good to add a function providing allocated SCR components according to this formula:

https://www.ivass.it/pubblicazioni-e-statistiche/pubblicazioni/att-sem-conv/2017/conf-131407/On-a-capital-allocation-principle-coherent.pdf

Additional output to help with audit

Needs thinking through, what output is needed from which modules.

Erroneous natcat when covers set up with zero recovery

e.g.

• xol_limt = xol_xs
• xol_xs > xol_limit

Update MCR parameters for inflation

https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:52021XC1019(02)

AMCR increased from 3.7m to 4m