Understanding the ESG Requirements for Solvency II
Document ID: 2009-1608
Published on: 30th September 2009
Author: Stephen Carlin
For companies already preparing MCEV/EEV or using an economic capital model (or indeed an Individual Capital Assessment in the UK) the requirement to demonstrate suitability of their ESG model and calibration is not new, but the requirements of Solvency II introduce a new level of rigour.
Re-engineering of insurers valuation, reporting and risk-management processes will be required under the forthcoming regulations, and as part of this process, it will be necessary for insurers to review the suitability of their current economic scenario generator (ESG) model and calibration set up.
