Calibration of the Premium and Reserve Risk Factors in the Standard Formula of Solvency II

When delivering its advice for Level 2 measures, EIOPA (CEIOPS successor from January 2011) committed to carry out a comprehensive revision of the calibration of the premium and reserve risk factors in the non-life and health non-SLT underwriting risk module of the SCR standard formula. For this purpose, EIOPA established a Joint Working Group (JWG) consisting of representatives of AMICE, Groupe Consultatif, CEA and CRO Forum as well as observers from the European Commission to discuss the most appropriate calibration methods and to derive recommendations for setting the above mentioned risk factors. This report summarises the findings and recommendations of the JWG on the settings of the premium and reserve risk factors.