time horizon’ is the basis on which the solvency capital requirement ‘One-year (SCR) is calculated under article 101(3) of the Solvency 2 Directive. time horizon’ refers to the non-life model outputs that relate to risk over ‘Ultimate the time horizon of the run-off of the undertaking’s obligations to its policyholders, including obligations relating to business planned to be written in the 12 months following the reference date. Regarding parameter uncertainty the following definition was chosen: the prediction uncertainty (or of e.g. the claim development result in reserve risk is generally – – split into a process error and an estimation error, the latter being also called parameter uncertainty or parameter error. Parameter uncertainty is the possibility that the parameters used to define the model are incorrect given that the model is correct. This possibility occurs, firstly, because there is only a (sometimes very) limited amount of data to estimate the parameters. Secondly, the parameters themselves will evolve through time, so those applicable for future events are always unknown at the present. ITEM INSTRUCTIONS RESR002 Data-history What is looked for here is the data history and not Number of the development of claims. Some accident years Odd and even calendar years may have incomplete developments. columns used to calibrate (merged cells) attritional claims Gross reserve Claims provisions as of the reference date and risk data derived from the internal model. Give this value RESRG101 Claims provisions before any adjustment (e.g. scaling for consistency derived from the reasons). IM before any Odd and even Solvency 2 In case there is no difference to the standard columns balance sheet formula claim provisions, please explain the (merged cells) reconciliation rationale and approach. adjustments RESRG102 reserve risk data Provisions as of the reference date Odd and even BE of claims columns provisions (merged cells) reserve risk RESRG201 to 206 data One-year or See general comments on time horizons. Ultimate 0.1%, 0.5%, 5%, Odd 95%, 99.5%, or 99.9% percentiles even column of reserve risk
‘One-year time horizon’ is the basis on which the solvency capital requirement (SCR) is calculated under article 101(3) of the Solvency 2 Directive. ‘Ultimate time horizon’ refers to the non-life model outputs that relate to risk over the time horizon of the run-off of the undertaking’s obligations to its policyholders, including obligations relating to business planned to be written in the 12 months following the reference date. Regarding parameter uncertainty the following definition was chosen: the prediction uncertainty (or – of e.g. the claim development result in reserve risk – is generally split into a process error and an estimation error, the latter being also called parameter uncertainty or parameter error. Parameter uncertainty is the possibility that the parameters used to define the model are incorrect given that the model is correct. This possibility occurs, firstly, because there is only a (sometimes very) limited amount of data to estimate the parameters. Secondly, the parameters themselves will evolve through time, so those applicable for future events are always unknown at the present. ITEM INSTRUCTIONS RESR002 Odd and even columns (merged cells) Data-history Number of calendar years used to calibrate attritional claims What is looked for here is the data history and not the development of claims. Some accident years may have incomplete developments. RESRG101 Odd and even columns (merged cells) Gross reserve risk data Claims provisions derived from the IM before any Solvency 2 balance sheet reconciliation adjustments Claims provisions as of the reference date and derived from the internal model. Give this value before any adjustment (e.g. scaling for consistency reasons). In case there is no difference to the standard formula claim provisions, please explain the rationale and approach. RESRG102 Odd and even columns (merged cells) reserve risk data BE of claims provisions Provisions as of the reference date RESRG201 to 206 Odd or even column reserve risk data One-year or Ultimate 0.1%, 0.5%, 5%, 95%, 99.5%, 99.9% percentiles of reserve risk See general comments on time horizons.