Reinsurance as a Mechanism for Optimizing Capital Requirements Under the Solvency II Regime: An Empirical Analysis of a Ten-Year Insurance Portfolio
The Solvency II regulatory framework (Directive 2009/138/EC) defines the Solvency Capital Requirement (Solvency Capital Requirement, SCR) using a value-at-risk (VaR) approach, with a confidence level of 99.5% and a one-year time horizon. This structure makes regulatory capital extremely sensitive to the characteristics...