4 November 2015 News

SCOR secures regulatory approval for internal model

Reinsurer SCOR has received approval for its internal model by the Autorité de Contrôle Prudentiel et de Résolution (ACPR), the French regulator.

SCOR’s directors were informed of the ACPR's draft decision at the board meeting of 3 November 2015, and approved the associated terms.

SCOR said it has two targets: profitability and solvency, each defined in each strategic plan. The solvency target, as set out in the dynamic solvency scale presented at SCOR's investor day in September 2013, defines an optimal range of between 185 percent and 220 percent of the solvency capital requirement (SCR), and sets out the various measures to take if the group deviates from this.

In view of the coming into force of Solvency II on 1 January 2016, SCOR now calculates its SCR and its solvency ratio according to its internal model.

The firm’s internal model has been developed over the last 10 years. It has undergone an extensive review process by the group's supervisory authorities since they opened their pre-applications in 2011. Comprehensive documentation of more than 20,000 pages was filed on 22 May 2015, SCOR said.

SCOR explained that the internal model reflects SCOR's risk profile and strategy. “It is a stochastic model with high-level scientific foundations, which uses sophisticated methodologies to model dependencies across risks. The internal model is a full and holistic model. It covers all risks to which the group is exposed, notably life and property and casualty underwriting risk, market and credit risk, and operational risk,” SCOR said.

The firm uses its internal model for a number of matters: risk management, capital allocation, solvency, and the group's strategic decisions. This internal model is also used in many other areas, such as strategic planning, the capital shield strategy, and pricing.

"The board of directors and the entire SCOR group are extremely pleased to learn that the ACPR intends to approve the group's internal model,” said Denis Kessler, chairman and chief executive officer SCOR.

“SCOR had set itself the objective of creating its own full internal model, based on the skills, expertise and experience of its employees. The internal model covers all risks on both the asset and liability sides, as well as operational risk.

“This powerful tool provides SCOR with optimal and dynamic management of its capital, which faithfully reflects its risk profile. The current solvency level at the end of the third quarter 2015 is in the optimal solvency range."

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