Life Conference 2024 - G5: Building an SCR Analysis of Change
- As part of the Solvency II Reforms, the PRA has set out a new requirement for firms to produce an Analysis of Change (AoC) on the SCR as a validation tool for the SCR. The production of an AoC for the SCR will be challenging given the constraints that firms will be working under. While firms could choose to use a "brute force" approach, we expect that this will be time consuming and will reduce the value of the AoC as a tool that can help validate the results before they are reported. Therefore, we expect that some firms will be looking to find simplifications and approximations for each of the SCR steps to allow the production of a sufficiently accurate AoC in reasonable timescales. This will in turn allow the SCR AoC to be a useful tool within the reporting cycle. This talk will discuss a number of different techniques to estimate the changes in the SCR given changes in the "base balance sheet" using a realistic example and applying the different techniques to estimate the relevant steps in the AoC, and compare them against each other and against a "fully accurate" AoC in each step.
Speaker: Maynard Kuona, KPMG